FUNDO DE (Brazil) Market Value
| SPXS11 Fund | 8.50 0.03 0.35% |
| Symbol | FUNDO |
FUNDO DE '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 FUNDO DE'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 FUNDO DE.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in FUNDO DE on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding FUNDO DE INVESTIMENTO or generate 0.0% return on investment in FUNDO DE over 480 days.
FUNDO DE 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 FUNDO DE'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 FUNDO DE INVESTIMENTO upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.22) | |||
| Maximum Drawdown | 6.36 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 1.88 |
FUNDO DE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FUNDO DE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FUNDO DE's standard deviation. In reality, there are many statistical measures that can use FUNDO DE historical prices to predict the future FUNDO DE's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.15) | |||
| Total Risk Alpha | (0.31) | |||
| Treynor Ratio | (1.44) |
FUNDO DE INVESTIMENTO Backtested Returns
FUNDO DE INVESTIMENTO secures Sharpe Ratio (or Efficiency) of -0.12, which denotes the fund had a -0.12% return per unit of risk over the last 3 months. FUNDO DE INVESTIMENTO exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm FUNDO DE's Coefficient Of Variation of (889.57), mean deviation of 0.802, and Standard Deviation of 1.11 to check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.0942, which means not very significant fluctuations relative to the market. As returns on the market increase, FUNDO DE's returns are expected to increase less than the market. However, during the bear market, the loss of holding FUNDO DE is expected to be smaller as well.
Auto-correlation | 0.57 |
Modest predictability
FUNDO DE INVESTIMENTO has modest predictability. Overlapping area represents the amount of predictability between FUNDO DE time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th 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 FUNDO DE INVESTIMENTO price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current FUNDO DE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
FUNDO DE INVESTIMENTO lagged returns against current returns
Autocorrelation, which is FUNDO DE 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 FUNDO DE's fund expected returns. We can calculate the autocorrelation of FUNDO DE returns to help us make a trade decision. For example, suppose you find that FUNDO DE 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 |
FUNDO DE 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 FUNDO DE fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FUNDO DE fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FUNDO DE fund over time.
Current vs Lagged Prices |
| Timeline |
FUNDO DE Lagged Returns
When evaluating FUNDO DE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FUNDO DE fund have on its future price. FUNDO DE 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, FUNDO DE autocorrelation shows the relationship between FUNDO DE fund current value and its past values and can show if there is a momentum factor associated with investing in FUNDO DE INVESTIMENTO.
Regressed Prices |
| Timeline |
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