IBEX 35 (Spain) Backtesting

IBEX -- Spain Index  

 8,966  171.80  1.88%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of IBEX 35 and determine expected loss or profit from investing in IBEX 35 over given investment horizon. See also IBEX 35 Hype Analysis, IBEX 35 Correlation, Portfolio Optimization, IBEX 35 Volatility as well as analyze IBEX 35 Alpha and Beta and IBEX 35 Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

IBEX 35 'What if' Analysis

June 20, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 18, 2019
0.00
If you would invest  0.00  in IBEX 35 on June 20, 2019 and sell it all today you would earn a total of 0.00 from holding IBEX 35 or generate 0.0% return on investment in IBEX 35 over 90 days.

IBEX 35 Upside/Downside Indicators

Information Ratio(0.08)
Maximum Drawdown3.77
Value At Risk(1.56)
Potential Upside1.29

IBEX 35 Market Premium Indicators

Risk Adjusted Performance(0.025956)
Total Risk Alpha(0.06)

IBEX 35 Backtested Returns

IBEX 35 holds Efficiency (Sharpe) Ratio of -0.0457 which attests that the index had -0.0457% of return per unit of return volatility over the last 3 months. Macroaxis approach into determining risk of any index is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Even though it is essential to pay attention to IBEX 35 current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis approach into determining future performance of any index is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.50) 
correlation synergy

Modest reverse predictability

IBEX 35 has modest reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from June 20, 2019 to August 4, 2019 and August 4, 2019 to September 18, 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 IBEX 35 price movement. The serial correlation of -0.5 indicates that about 50.0% of current IBEX 35 price fluctuation can be explain by its past prices. Given that IBEX 35 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IBEX 35 for similar time interval.
Correlation Coefficient-0.5
Spearman Rank Test-0.09
Residual Average0.0
Price Variance25685.28

IBEX 35 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

IBEX 35 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

IBEX 35 Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - IBEX

IBEX 35 Investor Sentiment

Most of Macroaxis investors are at this time bullish on IBEX 35. What is your judgment towards investing in Spain companies? Are you bullish or bearish on IBEX 35?
Bullish
Bearish
98% Bullish
2% Bearish
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See also IBEX 35 Hype Analysis, IBEX 35 Correlation, Portfolio Optimization, IBEX 35 Volatility as well as analyze IBEX 35 Alpha and Beta and IBEX 35 Performance. Please also try Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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