Itau Fundo (Brazil) Market Value
| IFRI11 Fund | 95.12 0.79 0.82% |
| Symbol | Itau |
Itau 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 Itau 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 Itau Fundo.
| 08/31/2024 |
| 11/29/2024 |
If you would invest 0.00 in Itau Fundo on August 31, 2024 and sell it all today you would earn a total of 0.00 from holding Itau Fundo De or generate 0.0% return on investment in Itau Fundo over 90 days.
Itau 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 Itau 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 Itau Fundo De upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.30) | |||
| Maximum Drawdown | 3.79 | |||
| Value At Risk | (1.46) | |||
| Potential Upside | 1.06 |
Itau Fundo Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Itau Fundo's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Itau Fundo's standard deviation. In reality, there are many statistical measures that can use Itau Fundo historical prices to predict the future Itau Fundo's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.1) | |||
| Total Risk Alpha | (0.23) | |||
| Treynor Ratio | 0.7284 |
Itau Fundo De Backtested Returns
Itau Fundo De holds Efficiency (Sharpe) Ratio of -0.14, which attests that the entity had a -0.14% return per unit of risk over the last 3 months. Itau Fundo De exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Itau Fundo's Risk Adjusted Performance of (0.11), standard deviation of 0.7653, and Market Risk Adjusted Performance of 0.7384 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of -0.16, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Itau Fundo are expected to decrease at a much lower rate. During the bear market, Itau Fundo is likely to outperform the market.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
Itau Fundo De has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Itau Fundo time series from 31st of August 2024 to 15th of October 2024 and 15th of October 2024 to 29th of November 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 Itau Fundo De price movement. The serial correlation of -0.74 indicates that around 74.0% of current Itau Fundo price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 7.34 |
Itau Fundo De lagged returns against current returns
Autocorrelation, which is Itau 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 Itau Fundo's fund expected returns. We can calculate the autocorrelation of Itau Fundo returns to help us make a trade decision. For example, suppose you find that Itau 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 |
Itau 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 Itau Fundo fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Itau Fundo fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Itau Fundo fund over time.
Current vs Lagged Prices |
| Timeline |
Itau Fundo Lagged Returns
When evaluating Itau Fundo's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Itau Fundo fund have on its future price. Itau 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, Itau Fundo autocorrelation shows the relationship between Itau Fundo fund current value and its past values and can show if there is a momentum factor associated with investing in Itau Fundo De.
Regressed Prices |
| Timeline |
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