Bovespa (Brazil) Backtesting

BVSP -- Brazil Index  

 93,910  574.63  0.61%

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

March 25, 2019
0.00
No Change 0.00  0.0%
In 2 months and 1 day
May 24, 2019
0.00
If you would invest  0.00  in Bovespa on March 25, 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 60 days.

Bovespa Upside/Downside Indicators

Information Ratio(0.041789)
Maximum Drawdown5.33
Value At Risk(2.39)
Potential Upside2.17

Bovespa Market Premium Indicators

Risk Adjusted Performance(0.021738)
Total Risk Alpha(0.048557)

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of 0.0111 which signifies that the index had 0.0111% of return per unit of risk over the last 2 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 0.0149% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.22 
correlation synergy

Weak predictability

Bovespa has weak predictability. Overlapping area represents the amount of predictability between Bovespa time series from March 25, 2019 to April 24, 2019 and April 24, 2019 to May 24, 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 0.22 indicates that over 22.0% of current Bovespa price fluctuation can be explain by its past prices.
Correlation Coefficient0.22
Spearman Rank Test0.14
Residual Average0.0
Price Variance3703820.48

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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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 Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.
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