Basic Materials (Brazil) Market Value
| IMAT Index | 5,966 3.28 0.05% |
| Symbol | Basic |
Basic Materials 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Basic Materials' index what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Basic Materials.
| 02/23/2024 |
| 04/23/2024 |
If you would invest 0.00 in Basic Materials on February 23, 2024 and sell it all today you would earn a total of 0.00 from holding Basic Materials or generate 0.0% return on investment in Basic Materials over 60 days.
Basic Materials Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Basic Materials' index current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess Basic Materials upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8037 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 3.82 | |||
| Value At Risk | (1.27) | |||
| Potential Upside | 2.01 |
Basic Materials Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Basic Materials' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Basic Materials' standard deviation. In reality, there are many statistical measures that can use Basic Materials historical prices to predict the future Basic Materials' volatility.| Risk Adjusted Performance | 0.0523 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Basic Materials' price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as Basic Materials. Your research has to be compared to or analyzed against Basic Materials' peers to derive any actionable benefits. When done correctly, Basic Materials' competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in Basic Materials.
Basic Materials Backtested Returns
Basic Materials secures Sharpe Ratio (or Efficiency) of 0.0609, which signifies that the index had a 0.0609% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Basic Materials, which you can use to evaluate the volatility of the entity. The index shows a Beta (market volatility) of 0.0, which signifies not very significant fluctuations relative to the market. the returns on MARKET and Basic Materials are completely uncorrelated.
Auto-correlation | 0.15 |
Insignificant predictability
Basic Materials has insignificant predictability. Overlapping area represents the amount of predictability between Basic Materials time series from 23rd of February 2024 to 24th of March 2024 and 24th of March 2024 to 23rd of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Basic Materials price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Basic Materials price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 4413.32 |
Basic Materials lagged returns against current returns
Autocorrelation, which is Basic Materials index's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Basic Materials' index expected returns. We can calculate the autocorrelation of Basic Materials returns to help us make a trade decision. For example, suppose you find that Basic Materials has exhibited high autocorrelation historically, and you observe that the index is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Basic Materials regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Basic Materials index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Basic Materials index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Basic Materials index over time.
Current vs Lagged Prices |
| Timeline |
Basic Materials Lagged Returns
When evaluating Basic Materials' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Basic Materials index have on its future price. Basic Materials autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Basic Materials autocorrelation shows the relationship between Basic Materials index current value and its past values and can show if there is a momentum factor associated with investing in Basic Materials.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Basic Materials in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Basic Materials' short interest history, or implied volatility extrapolated from Basic Materials options trading.
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Basic Materials technical index analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, index market cycles, or different charting patterns.