CROBEX10 (Croatia) Market Value
| CRBEX10 Index | 1,968 18.65 0.96% |
| Symbol | CROBEX10 |
CROBEX10 '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 CROBEX10's index 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 CROBEX10.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in CROBEX10 on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding CROBEX10 or generate 0.0% return on investment in CROBEX10 over 480 days.
CROBEX10 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 CROBEX10's index 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 CROBEX10 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5207 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.78 | |||
| Value At Risk | (0.76) | |||
| Potential Upside | 1.11 |
CROBEX10 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CROBEX10's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CROBEX10's standard deviation. In reality, there are many statistical measures that can use CROBEX10 historical prices to predict the future CROBEX10's volatility.| Risk Adjusted Performance | 0.1293 | |||
| Total Risk Alpha | 0.0035 | |||
| Sortino Ratio | (0.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CROBEX10's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
CROBEX10 Backtested Returns
CROBEX10 secures Sharpe Ratio (or Efficiency) of 0.21, which signifies that the index had a 0.21% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for CROBEX10, which you can use to evaluate the volatility of the entity. The index shows a Beta (market volatility) of 0.0, which signifies not very significant fluctuations relative to the market. the returns on MARKET and CROBEX10 are completely uncorrelated.
Auto-correlation | 0.92 |
Excellent predictability
CROBEX10 has excellent predictability. Overlapping area represents the amount of predictability between CROBEX10 time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th 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 CROBEX10 price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current CROBEX10 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.92 | |
| Spearman Rank Test | 0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 9271.61 |
CROBEX10 lagged returns against current returns
Autocorrelation, which is CROBEX10 index'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 CROBEX10's index expected returns. We can calculate the autocorrelation of CROBEX10 returns to help us make a trade decision. For example, suppose you find that CROBEX10 has exhibited high autocorrelation historically, and you observe that the index 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 |
CROBEX10 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 CROBEX10 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CROBEX10 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CROBEX10 index over time.
Current vs Lagged Prices |
| Timeline |
CROBEX10 Lagged Returns
When evaluating CROBEX10's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CROBEX10 index have on its future price. CROBEX10 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, CROBEX10 autocorrelation shows the relationship between CROBEX10 index current value and its past values and can show if there is a momentum factor associated with investing in CROBEX10.
Regressed Prices |
| Timeline |