Vale S Backtesting

VALE -- USA Stock  

USD 13.25  0.26  2.00%

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

June 18, 2018
No Change 0.00  0.0%
In 30 days
July 18, 2018
If you would invest  0.00  in Vale S on June 18, 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 BHP Billiton, Rio Tinto, Teck Resources, Turquoise Hill, Cameco, and COMPANIA MIN. Vale S.A., together with its subsidiaries, produces and sells iron ore and iron ore pallets for use as raw materials in ...

Vale S Upside/Downside Indicators

Downside Deviation2.46
Information Ratio0.048575
Maximum Drawdown6.12
Value At Risk3.16
Potential Upside2.76

Vale S Market Premium Indicators

Risk Adjusted Performance0.0211
Jensen Alpha0.0021
Total Risk Alpha0.38
Sortino Ratio0.038388
Treynor Ratio0.138

Vale S A Backtested Returns

We consider Vale S not very volatile. Vale S A owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0235 which indicates Vale S A had 0.0235% 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 validate Vale S Semi Deviation of 2.15, Coefficient Of Variation of 4259.2 and Risk Adjusted Performance of 0.0211 to confirm if risk estimate we provide are consistent with the epected return of 0.0456%. Vale S has performance score of 1 on a scale of 0 to 100. The entity has beta of 0.2577 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 extremely important to respect Vale S A current price movements, it is better to be realistic regarding the information on 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 0.0456% will be sustainable into the future. Vale S A right now has a risk of 1.9404%. Please validate Vale S Treynor Ratio as well as the relationship between Downside Variance and Kurtosis to decide if Vale S will be following its existing price patterns.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.51) 

Good reverse predictability

Vale S A has good reverse predictability. Overlapping area represents the amount of predictability between Vale S time series from June 18, 2018 to July 3, 2018 and July 3, 2018 to July 18, 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 -0.51 indicates that about 51.0% 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 -0.51
Spearman Rank Test -0.4
Price Variance 0.06
Lagged Price Variance 0.05

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 Lagged Returns

 Regressed Prices 

Current Sentiment - VALE

Vale S A Investor Sentiment
Majority of Macroaxis users are at this time bullish on Vale S A. What is your outlook on investing in Vale S A? Are you bullish or bearish?
98% Bullish
2% Bearish

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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. Please also try Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.