IBEX 35 (Spain) Backtesting

IBEX -- Spain Index  

 9,383  166.70  1.81%

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

IBEX 35 'What if' Analysis

September 9, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 8, 2019
If you would invest  0.00  in IBEX 35 on September 9, 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

Downside Deviation1.72
Information Ratio1.0E-4
Maximum Drawdown6.81
Value At Risk(2.12)
Potential Upside1.76

IBEX 35 Market Premium Indicators

Risk Adjusted Performance0.0394
Total Risk Alpha(0.07)

IBEX 35 Backtested Returns

IBEX 35 holds Efficiency (Sharpe) Ratio of 0.0538 which attests that the index had 0.0538% of return per unit of return volatility over the last 3 months. Our approach into determining 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 IBEX 35 which you can use to evaluate future volatility of the entity. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Although it is extremely important to respect IBEX 35 current price history, it is better to be realistic regarding the information on equity current price movements. The approach into determining 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 inspecting IBEX 35 technical indicators you can right now evaluate if the expected return of 0.0697% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.16) 
correlation synergy

Insignificant reverse predictability

IBEX 35 has insignificant reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from September 9, 2019 to October 24, 2019 and October 24, 2019 to December 8, 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 -0.16 indicates that over 16.0% 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-0.16
Spearman Rank Test-0.29
Residual Average0.0
Price Variance12853.41

IBEX 35 lagged returns against current returns

 Current and Lagged Values 

IBEX 35 regressed lagged prices vs. current prices

 Current vs Lagged Prices 

IBEX 35 Lagged Returns

 Regressed Prices 

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?
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 Transaction History module to view history of all your transactions and understand their impact on performance.
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