Basic Materials (Brazil) Market Value

IMAT Index   5,643  5.81  0.10%   
Basic Materials' market value is the price at which a share of Basic Materials trades on a public exchange. It measures the collective expectations of Basic Materials investors about its performance. Basic Materials is enlisted at 5643.44 as of the 20th of July 2024; that is 0.10 percent up since the beginning of the trading day. The index's open price was 5637.63.
With this module, you can estimate the performance of a buy and hold strategy of Basic Materials and determine expected loss or profit from investing in Basic Materials over a given investment horizon. Check out Risk vs Return Analysis to better understand how to build diversified portfolios. Also, note that the market value of any index could be closely tied with the direction of predictive economic indicators such as signals in board of governors.
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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.
0.00
06/20/2024
No Change 0.00  0.0 
In 30 days
07/20/2024
0.00
If you would invest  0.00  in Basic Materials on June 20, 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 30 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.

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.
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.

Basic Materials Backtested Returns

Basic Materials secures Sharpe Ratio (or Efficiency) of -0.0795, which signifies that the index had a -0.0795% return per unit of risk over the last 3 months. Basic Materials exposes twenty different technical indicators, which can help you to evaluate volatility embedded in its price movement. 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

    
  0.67  

Good predictability

Basic Materials has good predictability. Overlapping area represents the amount of predictability between Basic Materials time series from 20th of June 2024 to 5th of July 2024 and 5th of July 2024 to 20th of July 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 0.67 indicates that around 67.0% of current Basic Materials price fluctuation can be explain by its past prices.
Correlation Coefficient0.67
Spearman Rank Test0.54
Residual Average0.0
Price Variance2739.74

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  

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