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Bovespa (Brazil) Backtesting

BVS
BVSP -- Brazil Index  

 104,172  1,188  1.15%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Bovespa and determine expected loss or profit from investing in Bovespa over given investment horizon. Check out Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance.
Symbol
Backtest

Bovespa 'What if' Analysis

0.00
11/30/2019
No Change 0.00  0.0 
In 3 months and 1 day
02/28/2020
0.00
If you would invest  0.00  in Bovespa on November 30, 2019 and sell it all today you would earn a total of 0.00 from holding Bovespa or generate 0.0% return on investment in Bovespa over 90 days. Bovespa is related to or competes with CME GROUP, and BOOKING DRN. Bovespa is entity of Brazil. It is traded as Index on Index exchange.

Bovespa Upside/Downside Indicators

Information Ratio0.002
Maximum Drawdown8.64
Value At Risk(3.09)
Potential Upside2.53

Bovespa Market Premium Indicators

Risk Adjusted Performance(0.06)
Total Risk Alpha0.1457

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of -0.0167 which signifies that the index had -0.0167% of return per unit of risk over the last 3 months. Macroaxis philosophy towards foreseeing 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. Bovespa exposes twenty-seven different technical indicators which can help you to evaluate volatility that cannot be diversified away. The organization shows Beta (market volatility) of 0.0, which signifies that the returns on MARKET and Bovespa are completely uncorrelated. Even though it is essential to pay attention to Bovespa historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy towards foreseeing 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. Bovespa exposes twenty-seven different technical indicators, which can help you to evaluate its performance.
AdviceVolatility TrendExposureCorrelations
15 days auto-correlation(0.52) 
correlation synergy

Good reverse predictability

Bovespa has good reverse predictability. Overlapping area represents the amount of predictability between Bovespa time series from November 30, 2019 to January 14, 2020 and January 14, 2020 to February 28, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Bovespa price movement. The serial correlation of -0.52 indicates that about 52.0% of current Bovespa price fluctuation can be explain by its past prices. Given that Bovespa has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Bovespa for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test-0.44
Residual Average0.0
Price Variance4510500.37

Bovespa lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Bovespa regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Bovespa Lagged Returns

 Regressed Prices 
    
  Timeline 

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Check out Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance. Please also try Piotroski F Score module to get piotroski f score based on binary analysis strategy of nine different fundamentals.