IBEX 35 (Spain) Backtesting

IBEX -- Spain Index  

 9,138  171.80  1.92%

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
SymbolX
Backtest

IBEX 35 'What if' Analysis

June 19, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 17, 2019
0.00
If you would invest  0.00  in IBEX 35 on June 19, 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

Information Ratio(0.06)
Maximum Drawdown3.77
Value At Risk(1.56)
Potential Upside1.29

IBEX 35 Market Premium Indicators

Risk Adjusted Performance(0.02613)
Total Risk Alpha(0.05)

IBEX 35 Backtested Returns

IBEX 35 holds Efficiency (Sharpe) Ratio of -0.0502 which attests that the index had -0.0502% of return per unit of return volatility over the last 3 months. Macroaxis approach into determining 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. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. The entity retains Market Volatility (i.e. Beta) of 0.0 which attests that the returns on MARKET and IBEX 35 are completely uncorrelated. Even though it is essential to pay attention to IBEX 35 current price history, it is always good to be careful when utilizing equity current price movements. Macroaxis approach into determining 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. IBEX 35 exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.33) 
correlation synergy

Poor reverse predictability

IBEX 35 has poor reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from June 19, 2019 to August 3, 2019 and August 3, 2019 to September 17, 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 -0.33 indicates that nearly 33.0% of current IBEX 35 price fluctuation can be explain by its past prices. Given that IBEX 35 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of IBEX 35 for similar time interval.
Correlation Coefficient-0.33
Spearman Rank Test0.22
Residual Average0.0
Price Variance25683.03

IBEX 35 lagged returns against current returns

 Current and Lagged Values 
      Timeline 

IBEX 35 regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

IBEX 35 Lagged Returns

 Regressed Prices 
      Timeline 

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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 Equity Valuation module to check real value of public entities based on technical and fundamental data.
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