Bovespa Backtested Returns
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.
|15 days auto-correlation|| 0.24 |
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