BIST Electricity (Turkey) Market Value
| XELKT Index | 489.48 8.57 1.78% |
| Symbol | BIST |
BIST Electricity '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 BIST Electricity'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 BIST Electricity.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in BIST Electricity on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding BIST Electricity or generate 0.0% return on investment in BIST Electricity over 30 days.
BIST Electricity 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 BIST Electricity'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 BIST Electricity upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 5.51 | |||
| Value At Risk | (2.46) | |||
| Potential Upside | 2.12 |
BIST Electricity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BIST Electricity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BIST Electricity's standard deviation. In reality, there are many statistical measures that can use BIST Electricity historical prices to predict the future BIST Electricity's volatility.| Risk Adjusted Performance | (0.02) | |||
| Total Risk Alpha | (0.31) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BIST Electricity'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.
BIST Electricity Backtested Returns
BIST Electricity secures Sharpe Ratio (or Efficiency) of -0.0054, which signifies that the index had a -0.0054% return per unit of risk over the last 3 months. BIST Electricity exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. 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 BIST Electricity are completely uncorrelated.
Auto-correlation | 0.04 |
Virtually no predictability
BIST Electricity has virtually no predictability. Overlapping area represents the amount of predictability between BIST Electricity time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 BIST Electricity price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current BIST Electricity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | 0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 26.28 |
BIST Electricity lagged returns against current returns
Autocorrelation, which is BIST Electricity 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 BIST Electricity's index expected returns. We can calculate the autocorrelation of BIST Electricity returns to help us make a trade decision. For example, suppose you find that BIST Electricity 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 |
BIST Electricity 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 BIST Electricity index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BIST Electricity index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BIST Electricity index over time.
Current vs Lagged Prices |
| Timeline |
BIST Electricity Lagged Returns
When evaluating BIST Electricity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BIST Electricity index have on its future price. BIST Electricity 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, BIST Electricity autocorrelation shows the relationship between BIST Electricity index current value and its past values and can show if there is a momentum factor associated with investing in BIST Electricity.
Regressed Prices |
| Timeline |