THE ICOLCAP ETF CASE STUDY: MEAN REVERSION MODELING, Z-RATED PROBABILITY DYNAMICS, AND OPERATIONAL LIQUIDITY ALERTS

 

This study accurately segments the ETF's behavior into three distinct sample horizons:

Long Term (N=1161 observations): The linear trend only explains 45.95% of the movement (R²), but when applying the 6th-order polynomial model, the explanatory power rises to a robust 94.02%. This scientifically demonstrates that the Colombian market is cyclical and responds to wave forces and mean reversion over multi-year periods.

The medium term (N=706 observations) is the period with the greatest structural consistency. The linear R² of 90.28% and the 6th-order polynomial R² of 96.66% describe a remarkably solid, clean upward trend phase with low deviations from its central trajectory. In the short term (N=180 observations), the recent period shows a clear break from linearity (R^2 "Linear"=36.30%). However, the 6th-order polynomial captures 76.36%, reflecting that the short term is defined by high volatility, curved impulses, and nonlinear corrections.

Analyzing its financial efficiency and risk behavior, the Sharpe ratio shows excellent risk-return efficiency in the medium term (2.89), which tends to normalize towards the short term (1.81).

A critical finding is observed in the skewness coefficient. While it is positive in the long (+1.127) and medium (+0.586) term (bias in favor of extreme positive returns), in the short term the skewness becomes negative (-0.193). Econometrically, this validates that the market has begun to experience downward pressure and severe corrective impulses in the last 180 sessions.

If the probability model (Z-distribution) is applied to this analysis, and using the reference price value proposed in the table (X=22,668.00), it is found that in the long term, the Z-value of 2.26 determines a cumulative probability of 98.80%. This means that historically, the current price is in the highest percentile of the distribution. There is only one There is a 1.20% statistical probability of this level being consistently surpassed under this sample.

In the medium term, the cumulative probability is 95.71% (Z=1.72), confirming a zone of extreme structural overbought conditions. In the short term, it is at 74.10% of the distribution, indicating that the price has bounced towards the middle-to-upper portion of the bell curve in the last 180 days.

An aggressive or cash entry at current levels is not recommended because it is at an extreme volatility level (overbought). Buying with cumulative probabilities (p) of 98.80% and 95.71% implies acquiring the ETF at the upper limits of the historical and medium-term distribution bell curves. The risk of a drawdown due to mean reversion is extremely high.

Looking at the short term, the price line has broken down from the upper parabola of the sixth-order polynomial model and is currently testing support levels. The recent negative asymmetry confirms that immediate inertia is working against it.

The 30-day forecast of the long-term model projects a theoretical drop to 19,207.82, reflecting the need for the price to clear its current excesses.

Given the long-term bullish projections (where the medium- and short-term models project levels of 28,845 and 29,616 over 360 days), the asset maintains an excellent macroeconomic backdrop. Therefore, the most prudent and independent stance is to wait for a technical correction towards the support zone between 19,500 and 20,500 points.

Making staggered purchases (Dollar Cost Averaging) within this price range will drastically optimize your portfolio's Sharpe ratio, reducing tail risk and ensuring a superior statistical margin of safety.

When the econometric data is combined with the fundamental indicators, the conclusion of this analysis not only remains but becomes more restrictive:

The addition of fundamentals demonstrates that the asset is not only in a zone of statistical exhaustion and overbought conditions (historical percentile of 98.80%), but is currently
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It suffers from a serious distortion in its market microstructure (a bid/ask spread divorced from the actual NAV and extreme volatility in the opening price). Entering at this precise moment is equivalent to buying at a time of price opacity, where the risk of paying a hidden premium (slipage) or being trapped in a poorly executed order is critical. It is reiterated that it is necessary to wait for volume to normalize towards its 3-month average, for market peaks to align with the actual NAV (22,552.34), and for the technical correction to occur towards the mathematical support zone (19,500 - 20,500 COP) before committing institutional or personal capital. If you would like to learn more about the mathematical models applied, please contact fs1950@gmail.com