EXES FUNDO (Brazil) Market Value
| EXES11 Fund | 9.49 0.01 0.11% |
| Symbol | EXES |
EXES FUNDO 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to EXES FUNDO's fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of EXES FUNDO.
| 10/13/2024 |
| 12/12/2024 |
If you would invest 0.00 in EXES FUNDO on October 13, 2024 and sell it all today you would earn a total of 0.00 from holding EXES FUNDO DE or generate 0.0% return on investment in EXES FUNDO over 60 days.
EXES FUNDO Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure EXES FUNDO's fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess EXES FUNDO DE upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9683 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 3.17 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 1.09 |
EXES FUNDO Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for EXES FUNDO's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as EXES FUNDO's standard deviation. In reality, there are many statistical measures that can use EXES FUNDO historical prices to predict the future EXES FUNDO's volatility.| Risk Adjusted Performance | 0.0602 | |||
| Jensen Alpha | 0.0262 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | 0.3261 |
EXES FUNDO DE Backtested Returns
At this point, EXES FUNDO is very steady. EXES FUNDO DE secures Sharpe Ratio (or Efficiency) of 0.0888, which denotes the fund had a 0.0888% return per unit of return volatility over the last 3 months. We have found twenty-nine technical indicators for EXES FUNDO DE, which you can use to evaluate the volatility of the entity. Please confirm EXES FUNDO's downside deviation of 0.9683, and Mean Deviation of 0.3292 to check if the risk estimate we provide is consistent with the expected return of 0.0527%. The fund shows a Beta (market volatility) of 0.12, which means not very significant fluctuations relative to the market. As returns on the market increase, EXES FUNDO's returns are expected to increase less than the market. However, during the bear market, the loss of holding EXES FUNDO is expected to be smaller as well.
Auto-correlation | 0.21 |
Weak predictability
EXES FUNDO DE has weak predictability. Overlapping area represents the amount of predictability between EXES FUNDO time series from 13th of October 2024 to 12th of November 2024 and 12th of November 2024 to 12th of December 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of EXES FUNDO DE price movement. The serial correlation of 0.21 indicates that over 21.0% of current EXES FUNDO price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
EXES FUNDO DE lagged returns against current returns
Autocorrelation, which is EXES FUNDO fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting EXES FUNDO's fund expected returns. We can calculate the autocorrelation of EXES FUNDO returns to help us make a trade decision. For example, suppose you find that EXES FUNDO has exhibited high autocorrelation historically, and you observe that the fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
EXES FUNDO regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If EXES FUNDO fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if EXES FUNDO fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in EXES FUNDO fund over time.
Current vs Lagged Prices |
| Timeline |
EXES FUNDO Lagged Returns
When evaluating EXES FUNDO's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of EXES FUNDO fund have on its future price. EXES FUNDO autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, EXES FUNDO autocorrelation shows the relationship between EXES FUNDO fund current value and its past values and can show if there is a momentum factor associated with investing in EXES FUNDO DE.
Regressed Prices |
| Timeline |
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