maintains Sharpe Ratio (i.e. Efficiency) of 0.0745 which implies the entity had 0.0745% of return per unit of risk over the last 3 months. Our philosophy in forecasting volatility of an index is to use all available market data together with index specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for OSE All which you can use to evaluate future volatility of the index. The index holds Beta of 0.0 which implies the returns on MARKET and OSE All are completely uncorrelated. Although it is extremely important to respect OSE All
current trending patterns, it is better to be realistic regarding the information on equity existing price patterns
. The philosophy in forecasting future performance of any index is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators
. By inspecting OSE All technical indicators
you can now evaluate if the expected return of 0.0722% will be sustainable into the future.
Good reverse predictability
OSE All has good reverse predictability. Overlapping area represents the amount of predictability between OSE All time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 17, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of OSE All price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current OSE All price fluctuation can be explain by its past prices. Given that OSE All has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of OSE All for similar time interval.