IPC (Mexico) Backtesting

MXX -- Mexico Index  

 42,813  48.41  0.11%

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

IPC '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 IPC on March 25, 2019 and sell it all today you would earn a total of 0.00 from holding IPC or generate 0.0% return on investment in IPC over 60 days.

IPC Upside/Downside Indicators

Information Ratio(0.019846)
Maximum Drawdown3.65
Value At Risk(1.21)
Potential Upside1.25

IPC Market Premium Indicators

Risk Adjusted Performance(0.010357)
Total Risk Alpha(0.014023)

IPC Backtested Returns

IPC retains Efficiency (Sharpe Ratio) of 0.0119 which attests that the entity had 0.0119% of return per unit of return volatility over the last 2 months. Our approach to 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 IPC which you can use to evaluate future volatility of the entity. The index owns Beta (Systematic Risk) of 0.0 which attests that the returns on MARKET and IPC are completely uncorrelated. Although it is extremely important to respect IPC existing price patterns, it is better to be realistic regarding the information on equity price patterns. The approach to 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 reviewing IPC technical indicators you can today evaluate if the expected return of 0.0086% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.94) 
correlation synergy

Near perfect reversele predictability

IPC has near perfect reversele predictability. Overlapping area represents the amount of predictability between IPC 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 IPC price movement. The serial correlation of -0.94 indicates that approximately 94.0% of current IPC price fluctuation can be explain by its past prices. Given that IPC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IPC for similar time interval.
Correlation Coefficient-0.94
Spearman Rank Test-0.52
Residual Average0.0
Price Variance603047.86

IPC lagged returns against current returns

 Current and Lagged Values 
      Timeline 

IPC regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

IPC Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - MXX

IPC Investor Sentiment

Most of Macroaxis investors are at this time bullish on IPC. What is your judgment towards investing in Mexico companies? Are you bullish or bearish on IPC?
Bullish
Bearish
98% Bullish
2% Bearish
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See also IPC Hype Analysis, IPC Correlation, Portfolio Optimization, IPC Volatility as well as analyze IPC Alpha and Beta and IPC Performance. Please also try Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
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