Vale S Backtesting

Vale S A -- USA Stock  

USD 12.66  0.33  2.54%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Vale S A and determine expected loss or profit from investing in Vale S over given investment horizon. Also please take a look at Vale S Hype Analysis, Vale S Correlation, Vale S Valuation, Vale S Volatility as well as analyze Vale S Alpha and Beta and Vale S Performance
 Time Horizon     30 Days    Login   to change

Vale S 'What if' Analysis

February 20, 2018
No Change 0.00  0.0%
In 31 days
March 22, 2018
If you would invest  0.00  in Vale S on February 20, 2018 and sell it all today you would earn a total of 0.00 from holding Vale S A or generate 0.0% return on investment in Vale S over 30 days. Vale S is related to or competes with Hecla Mining, Dynaresource, and Emerge Energy. Vale S.A., together with its subsidiaries, engages in the production and sale of iron ore and iron ore pallets for steel...

Vale S Upside/Downside Indicators


Vale S Market Premium Indicators

Vale S A lagged returns against current returns

 Current and Lagged Values 

Vale S regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Vale S A Backtested Returns

Macroaxis considers Vale S to be not very volatile. Vale S A owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1598 which indicates Vale S A had -0.1598% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any stock is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Vale S A exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Vale S Coefficient Of Variation of 707.58 and Risk Adjusted Performance of 0.14 to confirm risk estimate we provide. Macroaxis gives Vale S performance score of 0 on a scale of 0 to 100. The entity has beta of -0.9687 which indicates . Even though it is essential to pay attention to Vale S A current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any stock is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Vale S A exposes twenty-eight different technical indicators which can help you to evaluate its performance. Vale S A has expected return of -0.3435%. Please be advised to validate Vale S Downside Variance, and the relationship between Treynor Ratio and Kurtosis to decide if Vale S A past performance will be repeated at some point in the near future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 

Good predictability

Vale S A has good predictability. Overlapping area represents the amount of predictability between Vale S time series from February 20, 2018 to March 7, 2018 and March 7, 2018 to March 22, 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 Vale S A price movement. The serial correlation of 0.66 indicates that around 66.0% of current Vale S price fluctuation can be explain by its past prices.
Correlation Coefficient 0.66
Spearman Rank Test 0.19
Price Variance 0.04
Lagged Price Variance 0.19

Vale S Lagged Returns

 Regressed Prices 

Vale S Performance vs DOW

The median price of Vale S for the period between Tue, Feb 20, 2018 and Thu, Mar 22, 2018 is 13.39 with a coefficient of variation of 4.64. The daily time series for the period is distributed with a sample standard deviation of 0.62, arithmetic mean of 13.36, and mean deviation of 0.51. The Stock received some media coverage during the period.
 Price Growth (%)  
Form 6-K Vale SA For Mar 2103/21/2018