ECONOMETRIC AND RISK ANALYSIS OF THE COLCAP INDEX (2010-2025): DISPARITY BETWEEN A SOLID UPWARD TREND AND ALL-TIME HIGHS OF OVERCAUTION

 

This stock market index represents the most actively traded companies listed on the Colombian Stock Exchange (BVC), but most Colombian companies are experiencing a downward trend, and I don't understand why the index appears to be rising. Therefore, it is important to request that you conduct a historical study covering the past 15 years and project it over six, twelve, and 360 months to verify the future behavior of this index.

Since 2010, the COLCAP index has registered volatile annual returns: +33.42% in 2010, -13.83% in 2011, and +16.62% in 2012, but also declines such as -23.75% in 2015 and -13.51% in 2020 due to the pandemic. Despite bearish years for 60-70% of Colombian companies, the index grew due to its concentration in highly liquid blue-chip stocks and a post-2020 recovery, surpassing 2,112 points in December 2025 with an annualized return of +53.42%. Recent data shows daily fluctuations, such as a -0.15% drop to 2,112.70 points on December 5th. Investing

Morgan Stanley projects the COLCAP at 2,280 points by the end of 2026 (baseline scenario, +10% in local currency), with a potential rise to 2,700 (bullish) or fall to 1,800 (bearish) depending on fiscal policy and elections. Trading Economics estimates 2,097 points in 3 months and 1,901 in 12 months, reflecting the post-record moderation. Reliable 360-month (30-year) projections are unavailable due to extreme macroeconomic uncertainty; historical trends suggest cyclical volatility influenced by commodities and reforms.

The descriptive statistics table provides an in-depth view of the COLCAP index price distribution over the study period.

Measures of Central Tendency and Dispersion

The comparative analysis of the mean, median, and mode is crucial for understanding the shape of the COLCAP price distribution:

Since the mode is greater than the mean and the median, the price distribution exhibits a negative skewness of -0.65.

The distribution curve is elongated to the left (the tail is longer on the left). This means that the highest frequency of observations (the mode) is found at higher values ​​than the average (the stocking).

Importance of Skewness and Kurtosis

The skewness at -0.654 and the kurtosis at -1.118 are essential for investment risk management. A negative skew, such as the one observed, indicates that extreme negative returns (losses) are more likely than extreme positive returns (gains) of the same magnitude, compared to a normal distribution.

An investor is risk-averse, so a negatively skewed distribution suggests a higher probability of significant "jumps" (drops) to the left, a factor to consider when assessing the probability of significant losses. Kurtosis measures the degree of "peakiness" of the distribution compared to the normal distribution (0 for a normal distribution). The value is −1.118, or platykurtic. Negative kurtosis means the distribution is flatter than the normal distribution normal. En términos de inversión, esto implica,  menos probabilidad de valores extremos (colas delgadas), es menos probable observar movimientos de precios extremadamente grandes (tanto ganancias como pérdidas) en comparación con un activo que siga una distribución normal. La probabilidad se distribuye de manera más uniforme en el centro.

La curtosis baja sugiere que el índice no presenta el clásico "riesgo de cola" (alto riesgo de eventos extremos raros) que a menudo se asocia con los mercados financieros, lo cual es positivo para la estabilidad percibida del activo.

Los gráficos adjuntos muestran la evolución del índice COLCAP y las líneas de tendencia, El índice COLCAP muestra un crecimiento del 53.73% durante el periodo de 15 años. El modelo lineal (polinomial de orden 1) tiene una correlación (R²) muy baja (0.17%). Esto se refleja en la línea recta en el gráfico, que apenas logra capturar la fluctuación real del índice. Su baja correlación (41.26%) indica que el COLCAP no tiene un comportamiento lineal simple.

La alta correlación de los modelos polinómicos, especialmente el de orden 6, demuestra que el índice COLCAP es un activo con un comportamiento cíclico y complejo, caracterizado por múltiples picos y valles a lo largo del tiempo, no solo una tendencia simple al alza.

El histograma (con su polígono de frecuencias) es una herramienta visual clave para corroborar la forma de la distribución, el gráfico muestra una curva que se desvía notablemente de una campana de Gauss perfectamente simétrica (la distribución normal). El pico está desplazado hacia la derecha (valores más altos), y la cola izquierda parece más larga, lo que confirma visualmente el sesgo negativo o less than 0 and the platykurtic distribution (K<0) found in the calculations.

This chart indicates that financial models assuming normality of returns (such as the Black-Scholes model for options) would be inappropriate or inaccurate for the COLCAP, as its prices do not follow a normal pattern, requiring a more sophisticated risk analysis.

The high Standard Deviation (207.52) and wide Range (1,221.93) indicate that the COLCAP is a volatile asset. The index has experienced 53.73% growth over 15 years, demonstrating long-term historical profitability.

The tail analysis indicates a higher probability of significant drops than of equally large spikes, while the platykurtic kurtosis indicates a lower probability of "black swan events" (extremely rare tail events) than in a normal distribution.

 

Based on statistical and econometric analysis, the last recorded price (2,112.70) is the all-time high (mode) and is significantly above the mean (1,473.10) and the median (1,469.04).

Investing at the current price, which is the highest point in the sample's history, presents a significant risk of a downward correction. Short- and medium-term forecasts suggest a reversion to the mean, implying declines toward values ​​closer to the historical average.

If you are a long-term investor, you should be aware that the 53.73% growth history suggests that the index is profitable in the long run, but this is not the optimal entry point. It would be prudent to wait for a significant correction (price drop) before entering the market The price closest to the historical average or key support levels.

If you are a short-term investor (trader), entering at all-time highs is very risky due to the imminent correction anticipated by forecasts and high volatility. The best strategy would be to stay on the sidelines or consider short positions (assuming the risk of a rebound and volatility).

Technical analysis focuses on studying price action, using tools such as moving averages and indicators to project future direction.

The signal is unanimous and unequivocal; all 12 moving averages (from MA5 to MA200, both simple and exponential) are generating a buy signal. Since the current price of $2,112.70, according to the chart above, is above all the listed moving averages (whose values ​​range between $2,036.20 and $2,107.22), this confirms a strong and solid short-, medium-, and long-term upward trend. The moving averages act as dynamic support levels.

The overall summary remains "Strong Buy" due to the majority of buy signals, but the presence of contrarian signals introduces the aforementioned uncertainty.

The RSI and MACD (momentum indicators) are in buy, supporting the trend. However, fast oscillators like the STOCH and Ultimate Oscillator are in neutral or sell, signaling that the upward momentum is slowing and a short-term correction could be imminent, which aligns with their overbought warning.

The probability chart shows that it has already reached a cumulative probability p of 99.90%, indicating that It's a good stock, but it's currently in a cautious position.

The cumulative probability of 99.90% means that the current price ($2,112.70) is at the 99.9th percentile of the entire price history. Virtually 99.9% of past prices have been lower than the current price. This corroborates the statistical analysis; the index is at an all-time high within the sample. While a high price might indicate a "good stock" (high perceived value), from a statistical risk perspective, this position is extremely cautious. The probability of the price retracing to the 1,473 moving average is much higher than the probability of it continuing to rise at this rate.

The integration of technical and statistical analysis gives us a picture of a strong trend versus an extreme risk of correction.

The moving averages and momentum indicators (MACD, RSI) confirm that the underlying trend is strongly bullish. In a market that only follows the trend, the signal is BUY. The price is at the 99.9% of its historical range. Forecasts suggest a mean reversion. Sensitive technical indicators (STOCH, Ultimate Oscillator) are suggesting that bullish momentum is waning and a correction is imminent.

Despite strong buy signals from moving averages, the fact that the price is at a statistical extreme (99.9th percentile) and that the overbought signal has been triggered by some oscillators implies that the risk of a sudden drop or a deep correction is extremely high.

The current price does not offer a margin of safety. Investing now means buying at the historical high, assuming the risk of mean reversion.

The most prudent position is neutrality and waiting; avoid investing at this time. It is recommended to wait for the price to test the dynamic support levels (the moving averages, especially the 20-day or 50-day moving averages, which are near $2,103 - $2,085).

Investment should only be made if the index corrects (falls) and then bounces (resumes the upward trend) off one of these support levels, demonstrating that the uptrend is resuming from a safer price level with less statistical risk.

There is a dichotomy in the projections. The Trading Economics model suggests an expected correction (down to $1,901), while Morgan Stanley projects continued but conditional growth. Given the current extreme position ($2,112.70), the risk of a correction (Trading Economics signal) is considered more likely in the short term. The long-term historical return, with a growth of 53.73%, suggests that, despite volatility, investing in the index will be positive if the historical trend of the country's largest companies continues.

The neutral and wait-and-see recommendation is the most robust, as it mitigates the risk of a short- and medium-term correction, allowing for a future entry at price levels closer to $2,085 - $2,103 (dynamic support levels MA20/MA50).