Bovespa (Brazil) Backtesting

BVSP -- Brazil Index  

 102,631  869.84  0.84%

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. See also Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Bovespa 'What if' Analysis

June 17, 2019
0.00
No Change 0.00  0.0%
In 3 months and 1 day
September 15, 2019
0.00
If you would invest  0.00  in Bovespa on June 17, 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 Upside/Downside Indicators

Downside Deviation1.33
Information Ratio0.0498
Maximum Drawdown5.01
Value At Risk(2.00)
Potential Upside2.0

Bovespa Market Premium Indicators

Risk Adjusted Performance0.0771
Total Risk Alpha0.0489
Sortino Ratio0.0438

Bovespa Backtested Returns

Bovespa secures Sharpe Ratio (or Efficiency) of 0.074 which signifies that the index had 0.074% of return per unit of risk over the last 3 months. Our philosophy towards foreseeing 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-six technical indicators for Bovespa which you can use to evaluate future volatility of the entity. The organization shows Beta (market volatility) of 0.0 which signifies that the returns on MARKET and Bovespa are completely uncorrelated. Although it is extremely important to respect Bovespa historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 analyzing Bovespa technical indicators you can presently evaluate if the expected return of 0.0876% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.42) 
correlation synergy

Modest reverse predictability

Bovespa has modest reverse predictability. Overlapping area represents the amount of predictability between Bovespa time series from June 17, 2019 to August 1, 2019 and August 1, 2019 to September 15, 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 Bovespa price movement. The serial correlation of -0.42 indicates that just about 42.0% 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-0.42
Spearman Rank Test0.02
Residual Average0.0
Price Variance4479565.48

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 

Current Sentiment - BVSP

Bovespa Investor Sentiment

Most of Macroaxis investors are at this time bullish on Bovespa. What is your opinion about investing in Brazil companies? Are you bullish or bearish on Bovespa?
Bullish
Bearish
98% Bullish
2% Bearish
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See also Bovespa Hype Analysis, Bovespa Correlation, Portfolio Optimization, Bovespa Volatility as well as analyze Bovespa Alpha and Beta and Bovespa Performance. Please also try Analyst Recommendations module to analyst recommendations and target price estimates broken down by several categories.
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