Bovespa (Brazil) Backtesting

Bovespa -- Brazil Index  

 83,913  250.74  0.30%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Bovespa and determine expected loss or profit from investing in Bovespa over given investment horizon. See also Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance
 Time Horizon     30 Days    Login   to change

Bovespa 'What if' Analysis

February 20, 2018
No Change 0.00  0.0%
In 31 days
March 22, 2018
If you would invest  0.00  in Bovespa on February 20, 2018 and sell it all today you would earn a total of 0.00 from holding Bovespa or generate 0.0% return on investment in Bovespa over 30 days.

Bovespa Upside/Downside Indicators


Bovespa Market Premium Indicators

Bovespa lagged returns against current returns

 Current and Lagged Values 

Bovespa regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of -0.1033 which signifies that Bovespa had -0.1033% of return per unit of risk over the last 1 month. Macroaxis philosophy towards foreseeing risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Bovespa exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bovespa are completely uncorrelated. Even though it is essential to pay attention to Bovespa historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Bovespa exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.84 

Very good predictability

Bovespa has very good predictability. Overlapping area represents the amount of predictability between Bovespa time series from February 20, 2018 to March 7, 2018 and March 7, 2018 to March 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bovespa price movement. The serial correlation of 0.84 indicates that around 84.0% of current Bovespa price fluctuation can be explain by its past prices.
Correlation Coefficient 0.84
Spearman Rank Test 0.48
Price Variance 902158.77
Lagged Price Variance 603083.16

Bovespa Lagged Returns

 Regressed Prices 

Bovespa Performance vs Bovespa

The median price of Bovespa for the period between Tue, Feb 20, 2018 and Thu, Mar 22, 2018 is 85653.02 with a coefficient of variation of 32.38. The daily time series for the period is distributed with a sample standard deviation of 25276.88, arithmetic mean of 78053.11, and mean deviation of 14191.47. The Index did not receive any noticable media coverage during the period.
 Price Growth (%)