IBEX 35 (Spain) Market Value
| IBEX Index | 11,166 20.30 0.18% |
| Symbol | IBEX |
IBEX 35 '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 IBEX 35'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 IBEX 35.
| 04/27/2024 |
| 07/26/2024 |
If you would invest 0.00 in IBEX 35 on April 27, 2024 and sell it all today you would earn a total of 0.00 from holding IBEX 35 Index or generate 0.0% return on investment in IBEX 35 over 90 days.
IBEX 35 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 IBEX 35'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 IBEX 35 Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8295 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.78 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.5 |
IBEX 35 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IBEX 35's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IBEX 35's standard deviation. In reality, there are many statistical measures that can use IBEX 35 historical prices to predict the future IBEX 35's volatility.| Risk Adjusted Performance | 0.0248 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.06) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of IBEX 35'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.
IBEX 35 Index Backtested Returns
IBEX 35 Index holds Efficiency (Sharpe) Ratio of 0.015, which attests that the index had a 0.015% return per unit of return volatility over the last 3 months. We have found twenty-five technical indicators for IBEX 35 Index, which you can use to evaluate the volatility of the entity. The entity retains a Market Volatility (i.e., Beta) of 0.0, which attests to not very significant fluctuations relative to the market. the returns on MARKET and IBEX 35 are completely uncorrelated.
Auto-correlation | -0.05 |
Very weak reverse predictability
IBEX 35 Index has very weak reverse predictability. Overlapping area represents the amount of predictability between IBEX 35 time series from 27th of April 2024 to 11th of June 2024 and 11th of June 2024 to 26th of July 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 IBEX 35 Index price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current IBEX 35 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.05 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 8150.91 |
IBEX 35 Index lagged returns against current returns
Autocorrelation, which is IBEX 35 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 IBEX 35's index expected returns. We can calculate the autocorrelation of IBEX 35 returns to help us make a trade decision. For example, suppose you find that IBEX 35 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 |
IBEX 35 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 IBEX 35 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IBEX 35 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IBEX 35 index over time.
Current vs Lagged Prices |
| Timeline |
IBEX 35 Lagged Returns
When evaluating IBEX 35's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IBEX 35 index have on its future price. IBEX 35 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, IBEX 35 autocorrelation shows the relationship between IBEX 35 index current value and its past values and can show if there is a momentum factor associated with investing in IBEX 35 Index.
Regressed Prices |
| Timeline |