Bovespa (Brazil) Backtesting

Bovespa -- Brazil Index  

 79,832  79.39  0.0995%

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

December 17, 2017
No Change 0.00  0.0%
In 31 days
January 16, 2018
If you would invest  0.00  in Bovespa on December 17, 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 0.5449 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.78 

Good predictability

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

 Regressed Prices 

Bovespa Performance vs Bovespa

The median price of Bovespa for the period between Sun, Dec 17, 2017 and Tue, Jan 16, 2018 is 77891.04 with a coefficient of variation of 3.38. The daily time series for the period is distributed with a sample standard deviation of 2593.69, arithmetic mean of 76702.28, and mean deviation of 2238.3. The Index did not receive any noticable media coverage during the period.
Price Growth (%)