FUNDO DE (Brazil) Alpha and Beta Analysis
| SPXS11 Fund | 9.00 0.28 3.21% |
This module allows you to check different measures of market premium (i.e., alpha and beta) for all equities such as FUNDO DE INVESTIMENTO. It also helps investors analyze the systematic and unsystematic risks associated with investing in FUNDO DE over a specified time horizon. Remember, high FUNDO DE's alpha is almost always a sign of good performance; however, a high beta will depend on investors' risk tolerance level and may signal increased volatility and potential future overvaluation. Key technical indicators related to FUNDO DE's market risk premium analysis include:
Beta (0.29) | Alpha (0.07) | Risk 1.07 | Sharpe Ratio (0.06) | Expected Return (0.07) |
Alpha is a measure of relative performance on a risk-adjusted basis, while beta measures volatility against the benchmark. The goal is to know if an investor is being compensated for the volatility risk taken. The return on investment might be better than its reference but still not compensate for the assumption of the risk.
FUNDO |
FUNDO DE Market Premiums
Investors always prefer to have the highest possible return on investment, coupled with the lowest possible volatility. FUNDO DE market risk premium is the additional return an investor will receive from holding FUNDO DE long position in a well-diversified portfolio. The market premium is part of the Capital Asset Pricing Model (CAPM), which most analysts and investors use to calculate the acceptable rate of return on investment in FUNDO DE. At the center of the CAPM is the concept of risk and reward, which is usually communicated by investors using alpha and beta measures. Alpha and beta are two of the key measurements used to evaluate FUNDO DE's performance over market.| α | -0.07 | β | -0.29 |
FUNDO DE Return and Market Media
The median price of FUNDO DE for the period between Fri, Aug 30, 2024 and Thu, Nov 28, 2024 is 9.19 with a coefficient of variation of 1.96. The daily time series for the period is distributed with a sample standard deviation of 0.18, arithmetic mean of 9.13, and mean deviation of 0.14. The Fund did not receive any noticable media coverage during the period. Price Growth (%) |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards FUNDO DE in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, FUNDO DE's short interest history, or implied volatility extrapolated from FUNDO DE options trading.
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