SFI INVESTIMENTOS (Brazil) Market Value
| IAGR11 Fund | 2.82 0.01 0.35% |
| Symbol | SFI |
SFI INVESTIMENTOS '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 SFI INVESTIMENTOS'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 SFI INVESTIMENTOS.
| 01/12/2023 |
| 12/02/2024 |
If you would invest 0.00 in SFI INVESTIMENTOS on January 12, 2023 and sell it all today you would earn a total of 0.00 from holding SFI INVESTIMENTOS DO or generate 0.0% return on investment in SFI INVESTIMENTOS over 690 days.
SFI INVESTIMENTOS 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 SFI INVESTIMENTOS'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 SFI INVESTIMENTOS DO upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 15.22 | |||
| Value At Risk | (2.95) | |||
| Potential Upside | 3.39 |
SFI INVESTIMENTOS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SFI INVESTIMENTOS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SFI INVESTIMENTOS's standard deviation. In reality, there are many statistical measures that can use SFI INVESTIMENTOS historical prices to predict the future SFI INVESTIMENTOS's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.27) | |||
| Total Risk Alpha | (0.66) | |||
| Treynor Ratio | 3.01 |
SFI INVESTIMENTOS Backtested Returns
SFI INVESTIMENTOS owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.12, which indicates the fund had a -0.12% return per unit of volatility over the last 3 months. SFI INVESTIMENTOS DO exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate SFI INVESTIMENTOS's variance of 5.23, and Risk Adjusted Performance of (0.08) to confirm the risk estimate we provide. The entity has a beta of -0.0932, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SFI INVESTIMENTOS are expected to decrease at a much lower rate. During the bear market, SFI INVESTIMENTOS is likely to outperform the market.
Auto-correlation | 0.46 |
Average predictability
SFI INVESTIMENTOS DO has average predictability. Overlapping area represents the amount of predictability between SFI INVESTIMENTOS time series from 12th of January 2023 to 23rd of December 2023 and 23rd of December 2023 to 2nd 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 SFI INVESTIMENTOS price movement. The serial correlation of 0.46 indicates that about 46.0% of current SFI INVESTIMENTOS price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.46 | |
| Spearman Rank Test | 0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.46 |
SFI INVESTIMENTOS lagged returns against current returns
Autocorrelation, which is SFI INVESTIMENTOS 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 SFI INVESTIMENTOS's fund expected returns. We can calculate the autocorrelation of SFI INVESTIMENTOS returns to help us make a trade decision. For example, suppose you find that SFI INVESTIMENTOS 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 |
SFI INVESTIMENTOS 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 SFI INVESTIMENTOS fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SFI INVESTIMENTOS fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SFI INVESTIMENTOS fund over time.
Current vs Lagged Prices |
| Timeline |
SFI INVESTIMENTOS Lagged Returns
When evaluating SFI INVESTIMENTOS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SFI INVESTIMENTOS fund have on its future price. SFI INVESTIMENTOS 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, SFI INVESTIMENTOS autocorrelation shows the relationship between SFI INVESTIMENTOS fund current value and its past values and can show if there is a momentum factor associated with investing in SFI INVESTIMENTOS DO.
Regressed Prices |
| Timeline |
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