IBEX 35 (Spain) Backtesting

IBEX -- Spain Index  

 9,352  28.30  0.30%

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

July 25, 2019
No Change 0.00  0.0 
In 2 months and 31 days
October 23, 2019
If you would invest  0.00  in IBEX 35 on July 25, 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 Deviation1.55
Information Ratio0.03
Maximum Drawdown6.49
Value At Risk(1.98)
Potential Upside1.76

IBEX 35 Market Premium Indicators

Risk Adjusted Performance0.0179
Total Risk Alpha0.0435
Sortino Ratio0.0236

IBEX 35 Backtested Returns

IBEX 35 holds Efficiency (Sharpe) Ratio of 0.0182 which attests that the index had 0.0182% 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 0.0224% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.11 
correlation synergy

Insignificant predictability

IBEX 35 has insignificant predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from July 25, 2019 to September 8, 2019 and September 8, 2019 to October 23, 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 0.11 indicates that less than 11.0% of current IBEX 35 price fluctuation can be explain by its past prices.
Correlation Coefficient0.11
Spearman Rank Test-0.23
Residual Average0.0
Price Variance28259.54

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 

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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 Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.
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