Bovespa (Brazil) Backtesting

BVSP -- Brazil Index  

 106,557  496.88  0.47%

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

Bovespa 'What if' Analysis

August 17, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
0.00
If you would invest  0.00  in Bovespa on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding Bovespa or generate 0.0% return on investment in Bovespa over 90 days.

Bovespa Upside/Downside Indicators

Downside Deviation1.4
Information Ratio(0.07)
Maximum Drawdown6.23
Value At Risk(2.34)
Potential Upside1.52

Bovespa Market Premium Indicators

Risk Adjusted Performance0.0327
Total Risk Alpha(0.16)
Sortino Ratio(0.06)

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of 0.1012 which signifies that the index had 0.1012% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing volatility of an index is to use all available market data together with index specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Bovespa which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bovespa are completely uncorrelated. Although it is extremely important to respect Bovespa historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Bovespa technical indicators you can presently evaluate if the expected return of 0.1158% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.93 
correlation synergy

Excellent predictability

Bovespa has excellent predictability. Overlapping area represents the amount of predictability between Bovespa time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 2019. 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 0.93 indicates that approximately 93.0% of current Bovespa price fluctuation can be explain by its past prices.
Correlation Coefficient0.93
Spearman Rank Test0.75
Residual Average0.0
Price Variance8441466.18

Bovespa lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Bovespa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Bovespa Lagged Returns

 Regressed Prices 
      Timeline 

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Correlation Analysis

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See also Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance. Please also try Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
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