Last Update: 10/12/2023
The financial duration is an indicator of bond risk (volatility). As the duration increases, so does the risk of a bond’s price fluctuation due to a change in interest rates. By extension, the choice of a certain duration by investors tells us the degree of perceived risk in the financial markets and the expectations of interest rates. Let us see what information we can draw from this through our analysis.
One week evaluation (short term)
The overall score obtained by individual assets in the last week. This is a short-term indication
Evaluation at 3 weeks (short term)
The 3-week average of the overall scores obtained by individual assets. This is a short-term indication but less volatile than the one-week figure
Evaluation at 10 weeks (medium term)
The 10-week average of the overall scores obtained by individual assets. This is a medium/long-term indication
Evaluation at 52 weeks (long term)
The 52-week average of the overall scores obtained by individual assets. This is a long-term indication
Weighted evaluation by parameters (short term)
This analysis considers the weighted asset valuation for each individual parameter used. The rank varies from 1 (best result) to 16 (worst result). A high rank indicates less volatility in the overall evaluation and increases its reliability.
The acceleration index measures the momentum of the asset's valuation and indicates whether it is improving, stable or deteriorating.
Assets prices trend
In which direction are the prices of the individual assets analysed currently heading? We assess this using some technical indicators.
The graph below depicts the valuations obtained by each asset over the last 4 weeks. it is useful, combined with the Acceleration Index, to identify the trend.
Strategy simulation trend
The chart below shows a simulation of an operational strategy based on opening a long position on the asset (or assets) with the best 3 weeks average score. The same graph also shows the trend of the reference index used for the calculations. The chart spans 260 weeks and is rolling (sliding one week at a time).
Last Update: 03/12/2023
- Strategy: 0.2525%
- Benchmark: 0.76275%
- Strategy: -0.110377%
- Benchmark: -0.0390566%
- Strategy: 0.013969%
- Benchmark: -0.0326262%
How to read the data. The assets in each analysis are part of the same basket that serves as a benchmark index. Thus, for example, the US sectors are part of the S&P500 basket. The purpose of the analysis is to assess the strength of each asset within the benchmark basket to identify the one that has the greatest chance of 'doing better' than the others. Boxes 1,2,3 and 4 present the ranking of assets over various time horizons, with the top of the list being the one that, based on the indicators used, is finding the most market acceptance and tends to do better than the reference index. Boxes 5 and 6 assess the volatility and trend of valuations over time, indicators that serve to outline a possible future scenario for the various assets. Thus, for example, a high rank and a rising Acceleration Index indicate prospects for improvement. In addition to the charts, the analysis also shows the absolute trend of individual assets (box 7), i.e. whether the prices of the instruments considered are going up or down. This information is useful for understanding the overall trend of the basket. If the prevalence is for a rise, for example, it means that we are moving into a market with upward prospects.
What is the purpose of this data, how can I use it? The basic idea of our analysis is to give a concise picture of how investors are operating at the moment, what they are betting on and what they are avoiding. The analysis, as the simulation also shows, can be used as an informative aid for the creation of a short-term investment strategy.