Bovespa (Brazil) Backtesting

BVSP -- Brazil Index  

 111,126  503.48  0.46%

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.
Horizon     30 Days    Login   to change

Bovespa 'What if' Analysis

September 8, 2019
No Change 0.00  0.0 
In 2 months and 31 days
December 7, 2019
If you would invest  0.00  in Bovespa on September 8, 2019 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 90 days.

Bovespa Upside/Downside Indicators

Downside Deviation1.24
Information Ratio0.0637
Maximum Drawdown4.89
Value At Risk(1.78)
Potential Upside1.41

Bovespa Market Premium Indicators

Risk Adjusted Performance0.0844
Total Risk Alpha0.0199
Sortino Ratio0.0545

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of 0.1138 which signifies that the index had 0.1138% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing 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-seven technical indicators for Bovespa which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bovespa are completely uncorrelated. Although it is extremely important to respect Bovespa historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Bovespa technical indicators you can presently evaluate if the expected return of 0.1216% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.58 
correlation synergy

Modest predictability

Bovespa has modest predictability. Overlapping area represents the amount of predictability between Bovespa time series from September 8, 2019 to October 23, 2019 and October 23, 2019 to December 7, 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 Bovespa price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Bovespa price fluctuation can be explain by its past prices.
Correlation Coefficient0.58
Spearman Rank Test0.6
Residual Average0.0
Price Variance2103347.99

Bovespa lagged returns against current returns

 Current and Lagged Values 

Bovespa regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Bovespa Lagged Returns

 Regressed Prices 

Current Sentiment - BVSP

Bovespa Investor Sentiment

Most of Macroaxis investors are at this time bullish on Bovespa. What is your opinion about investing in Brazil companies? Are you bullish or bearish on Bovespa?
98% Bullish
2% Bearish

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See also Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance. Please also try Theme Ratings module to determine theme ratings based on digital equity recommendations. macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.