Bovespa (Brazil) Backtesting

BVSP -- Brazil Index  

 99,806  0.22  0.0002%

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
SymbolX
Backtest

Bovespa 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 2 days
August 18, 2019
0.00
If you would invest  0.00  in Bovespa on June 19, 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 60 days.

Bovespa Upside/Downside Indicators

Downside Deviation1.45
Information Ratio0.0278
Maximum Drawdown5.01
Value At Risk(2.00)
Potential Upside1.56

Bovespa Market Premium Indicators

Risk Adjusted Performance0.0143
Total Risk Alpha0.0358
Sortino Ratio0.0213

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of -0.0049 which signifies that the index had -0.0049% of return per unit of risk over the last 2 months. 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-eight 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-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.32) 
correlation synergy

Poor reverse predictability

Bovespa has poor reverse predictability. Overlapping area represents the amount of predictability between Bovespa time series from June 19, 2019 to July 19, 2019 and July 19, 2019 to August 18, 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 -0.32 indicates that nearly 32.0% of current Bovespa price fluctuation can be explain by its past prices. Given that Bovespa has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bovespa for similar time interval.
Correlation Coefficient-0.32
Spearman Rank Test-0.47
Residual Average0.0
Price Variance2339686.68

Bovespa lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bovespa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bovespa Lagged Returns

 Regressed Prices 
      Timeline 

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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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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