Vale S Backtesting

Vale S A -- USA Stock  

USD 10.89  0.09  0.82%

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
Investment Horizon     30 Days    Login   to change

Vale S 'What if' Analysis

November 15, 2017
No Change 0.00  0.0%
In 31 days
December 15, 2017
If you would invest  0.00  in Vale S on November 15, 2017 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. Its Bulk Material segment produces and extracts iron ore and pellet

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 not very volatile given 1 month investment horizon. Vale S A owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2305 which indicates Vale S A had 0.2305% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a stock 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 Vale S A which you can use to evaluate future volatility of the company. Please operate Vale S Semi Deviation of 1.51, Coefficient Of Variation of 398.39 and Risk Adjusted Performance of 0.1336 to confirm if our risk estimates are consistent with your expectations. On a scale of 0 to 100 Vale S holds performance score of 15. The entity has beta of 0.0916 which indicates as returns on market increase, Vale S returns are expected to increase less than the market. However during bear market, the loss on holding Vale S will be expected to be smaller as well.. Although it is vital to follow to Vale S A current price movements, it is good to be conservative about what you can actually do with the information regarding equity historical returns. The philosophy towards measuring future performance of any stock is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting Vale S A technical indicators you can presently evaluate if the expected return of 0.4726% will be sustainable into the future. Please operates Vale S Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to make a quick decision on weather Vale S A existing price patterns will revert.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.1) 

Very weak reverse predictability

Vale S A has very weak reverse predictability. Overlapping area represents the amount of predictability between Vale S time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 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 Vale S A price movement. The serial correlation of -0.1 indicates that less than 10.0% of current Vale S price fluctuation can be explain by its past prices. Given that Vale S A has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Vale S for similar time interval.
Correlation Coefficient -0.1
Spearman Rank Test -0.21
Price Variance 0.03
Lagged Price Variance 0.22

Vale S Lagged Returns

 Regressed Prices 

Vale S Performance vs DOW

The median price of Vale S for the period between Wed, Nov 15, 2017 and Fri, Dec 15, 2017 is 10.89 with a coefficient of variation of 4.27. The daily time series for the period is distributed with a sample standard deviation of 0.46, arithmetic mean of 10.71, and mean deviation of 0.36. The Stock received some media coverage during the period.
Price Growth (%)  
Brazil Mining Giant Vale SA Outlines Its Plans To Reduce Its...12/08/2017