Bovespa (Brazil) Backtesting

BVSP -- Brazil Index  

 76,338  256.04  0.33%

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

June 16, 2018
No Change 0.00  0.0%
In 31 days
July 16, 2018
If you would invest  0.00  in Bovespa on June 16, 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

Information Ratio0.0156
Maximum Drawdown2.07
Value At Risk0.61
Potential Upside1.39

Bovespa Market Premium Indicators

Risk Adjusted Performance0.1115
Total Risk Alpha0.011657

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of 0.3403 which signifies that Bovespa had 0.3403% 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-eight 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 0.3362% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.42 

Average predictability

Bovespa has average predictability. Overlapping area represents the amount of predictability between Bovespa time series from June 16, 2018 to July 1, 2018 and July 1, 2018 to July 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 0.42 indicates that just about 42.0% of current Bovespa price fluctuation can be explain by its past prices.
Correlation Coefficient 0.42
Spearman Rank Test 0.6
Price Variance 1052658.04
Lagged Price Variance 960311.14

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 

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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 My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. macroaxis watchlist is based on self-learning algorithm to remember stocks you like.