Bovespa Backtested Returns
secures Sharpe Ratio (or Efficiency) of 0.5449 which signifies that Bovespa
had 0.5449% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing volatility of a index is to use all available market data together with company specific technical indicators
that cannot be diversified away. We have found twenty-one 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 vital to follow to Bovespa
historical returns, it is good to be conservative about what you can actually do with the information regarding 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 0.4435% will be sustainable into the future.
|15 days auto-correlation|| 0.78 |
Bovespa has good predictability. Overlapping area represents the amount of predictability between Bovespa time series from December 17, 2017 to January 1, 2018 and January 1, 2018 to January 16, 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 0.78 indicates that around 78.0% of current Bovespa price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.78|
|Spearman Rank Test|| 0.77|
|Price Variance|| 377079.73|
|Lagged Price Variance|| 2520871.38|
Bovespa Lagged Returns