BICE11 (Brazil) Market Value
| BICE11 Fund | 899.00 0.00 0.00% |
| Symbol | BICE11 |
BICE11 '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 BICE11'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 BICE11.
| 04/20/2025 |
| 07/19/2025 |
If you would invest 0.00 in BICE11 on April 20, 2025 and sell it all today you would earn a total of 0.00 from holding BICE11 or generate 0.0% return on investment in BICE11 over 90 days.
BICE11 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 BICE11'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 BICE11 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (1.05) | |||
| Maximum Drawdown | 0.6211 | |||
| Value At Risk | (0) | |||
| Potential Upside | 0.3982 |
BICE11 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BICE11's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BICE11's standard deviation. In reality, there are many statistical measures that can use BICE11 historical prices to predict the future BICE11's volatility.| Risk Adjusted Performance | 0.0753 | |||
| Jensen Alpha | 0.007 | |||
| Total Risk Alpha | (0.01) | |||
| Treynor Ratio | 0.9272 |
BICE11 Backtested Returns
At this point, BICE11 is very steady. BICE11 retains Efficiency (Sharpe Ratio) of 0.24, which signifies that the fund had a 0.24 % return per unit of risk over the last 3 months. We have found nineteen technical indicators for BICE11, which you can use to evaluate the volatility of the entity. Please confirm BICE11's variance of 0.0136, and Market Risk Adjusted Performance of 0.9372 to double-check if the risk estimate we provide is consistent with the expected return of 0.0257%. The fund owns a Beta (Systematic Risk) of 0.0088, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BICE11's returns are expected to increase less than the market. However, during the bear market, the loss of holding BICE11 is expected to be smaller as well.
Auto-correlation | 0.74 |
Good predictability
BICE11 has good predictability. Overlapping area represents the amount of predictability between BICE11 time series from 20th of April 2025 to 4th of June 2025 and 4th of June 2025 to 19th of July 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BICE11 price movement. The serial correlation of 0.74 indicates that around 74.0% of current BICE11 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 1.99 |
BICE11 lagged returns against current returns
Autocorrelation, which is BICE11 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 BICE11's fund expected returns. We can calculate the autocorrelation of BICE11 returns to help us make a trade decision. For example, suppose you find that BICE11 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 |
BICE11 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 BICE11 fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BICE11 fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BICE11 fund over time.
Current vs Lagged Prices |
| Timeline |
BICE11 Lagged Returns
When evaluating BICE11's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BICE11 fund have on its future price. BICE11 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, BICE11 autocorrelation shows the relationship between BICE11 fund current value and its past values and can show if there is a momentum factor associated with investing in BICE11.
Regressed Prices |
| Timeline |
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