IPC (Mexico) Backtesting

MXX -- Mexico Index  

 43,364  41.89  0.1%

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

July 25, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
October 23, 2019
0.00
If you would invest  0.00  in IPC on July 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 90 days.

IPC Upside/Downside Indicators

Downside Deviation0.9599
Information Ratio0.161
Maximum Drawdown4.43
Value At Risk(1.66)
Potential Upside1.89

IPC Market Premium Indicators

Risk Adjusted Performance0.1393
Total Risk Alpha0.1493
Sortino Ratio0.1568

IPC Backtested Returns

IPC retains Efficiency (Sharpe Ratio) of 0.0942 which attests that the entity had 0.0942% of return per unit of return volatility over the last 3 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-seven 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 0.0879% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.02) 
correlation synergy

Very weak reverse predictability

IPC has very weak reverse predictability. Overlapping area represents the amount of predictability between IPC 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 IPC price movement. The serial correlation of -0.02 indicates that only 2.0% 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-0.02
Spearman Rank Test0.01
Residual Average0.0
Price Variance115217.0

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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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