IPC (Mexico) Backtesting

MXX -- Mexico Index  

 48,454  1,521  3.24%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of IPC and determine expected loss or profit from investing in IPC over given investment horizon. See also IPC Hype Analysis, IPC Correlation, Portfolio Optimization, IPC Volatility as well as analyze IPC Alpha and Beta and IPC Performance.
 Time Horizon     30 Days    Login   to change

IPC 'What if' Analysis

June 17, 2018
No Change 0.00  0.0%
In 31 days
July 17, 2018
If you would invest  0.00  in IPC on June 17, 2018 and sell it all today you would earn a total of 0.00 from holding IPC or generate 0.0% return on investment in IPC over 30 days.

IPC Upside/Downside Indicators

Information Ratio0.11
Maximum Drawdown2.67
Value At Risk1.33
Potential Upside1.34

IPC Market Premium Indicators

Risk Adjusted Performance0.059
Total Risk Alpha0.08

IPC Backtested Returns

IPC retains Efficiency (Sharpe Ratio) of 0.1775 which attests that IPC had 0.1775% of return per unit of return volatility over the last 1 month. Our approach to determining 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 IPC which you can use to evaluate future volatility of the entity. The index owns Beta (Systematic Risk) of 0.0 which attests that the returns on MARKET and IPC are completely uncorrelated. Although it is extremely important to respect IPC existing price patterns, it is better to be realistic regarding the information on equity price patterns. The approach to determining 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 reviewing IPC technical indicators you can today evaluate if the expected return of 0.1328% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.41) 

Modest reverse predictability

IPC has modest reverse predictability. Overlapping area represents the amount of predictability between IPC time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 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 IPC price movement. The serial correlation of -0.41 indicates that just about 41.0% of current IPC price fluctuation can be explain by its past prices. Given that IPC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IPC for similar time interval.
Correlation Coefficient -0.41
Spearman Rank Test 0.71
Price Variance 35297.01
Lagged Price Variance 193632.17

IPC lagged returns against current returns

 Current and Lagged Values 

IPC regressed lagged prices vs. current prices

 Current vs Lagged Prices 

IPC Lagged Returns

 Regressed Prices 

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See also IPC Hype Analysis, IPC Correlation, Portfolio Optimization, IPC Volatility as well as analyze IPC Alpha and Beta and IPC Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.