Bovespa (Brazil) Backtesting

Bovespa -- Brazil Index  

 72,512  1,685  2.38%

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
Investment Horizon     30 Days    Login   to change

Bovespa 'What if' Analysis

October 18, 2017
No Change 0.00  0.0%
In 31 days
November 17, 2017
If you would invest  0.00  in Bovespa on October 18, 2017 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 is entity of Brazil. It is traded as Index on Index exchange.

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 -0.1832 which signifies that Bovespa had -0.1832% 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 0.24 

Weak predictability

Bovespa has weak predictability. Overlapping area represents the amount of predictability between Bovespa time series from October 18, 2017 to November 2, 2017 and November 2, 2017 to November 17, 2017. 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 0.24 indicates that over 24.0% of current Bovespa price fluctuation can be explain by its past prices.
Correlation Coefficient 0.24
Spearman Rank Test 0.48
Price Variance 1307178.4
Lagged Price Variance 769557.83

Bovespa Lagged Returns

 Regressed Prices 

Bovespa Performance vs Bovespa

The median price of Bovespa for the period between Wed, Oct 18, 2017 and Fri, Nov 17, 2017 is 74363.13 with a coefficient of variation of 2.54. The daily time series for the period is distributed with a sample standard deviation of 1884.89, arithmetic mean of 74351.22, and mean deviation of 1552.06. The Index did not receive any noticable media coverage during the period.
Price Growth (%)