PSI 20 (Portugal) Market Value
| PSI20 Index | 6,647 1.73 0.03% |
| Symbol | PSI |
PSI 20 '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 PSI 20'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 PSI 20.
| 07/08/2024 |
| 10/06/2024 |
If you would invest 0.00 in PSI 20 on July 8, 2024 and sell it all today you would earn a total of 0.00 from holding PSI 20 Stock or generate 0.0% return on investment in PSI 20 over 90 days.
PSI 20 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 PSI 20'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 PSI 20 Stock upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 3.98 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 1.04 |
PSI 20 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for PSI 20's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as PSI 20's standard deviation. In reality, there are many statistical measures that can use PSI 20 historical prices to predict the future PSI 20's volatility.Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of PSI 20'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.
PSI 20 Stock Backtested Returns
PSI 20 Stock maintains Sharpe Ratio (i.e., Efficiency) of 0.0013, which implies the entity had a 0.0013% return per unit of volatility over the last 3 months. We have found twenty technical indicators for PSI 20 Stock, which you can use to evaluate the volatility of the index. The index holds a Beta of 0.0, which implies not very significant fluctuations relative to the market. the returns on MARKET and PSI 20 are completely uncorrelated.
Auto-correlation | -0.1 |
Very weak reverse predictability
PSI 20 Stock has very weak reverse predictability. Overlapping area represents the amount of predictability between PSI 20 time series from 8th of July 2024 to 22nd of August 2024 and 22nd of August 2024 to 6th of October 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 PSI 20 Stock price movement. The serial correlation of -0.1 indicates that less than 10.0% of current PSI 20 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.1 | |
| Spearman Rank Test | 0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 2485.97 |
PSI 20 Stock lagged returns against current returns
Autocorrelation, which is PSI 20 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 PSI 20's index expected returns. We can calculate the autocorrelation of PSI 20 returns to help us make a trade decision. For example, suppose you find that PSI 20 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 |
PSI 20 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 PSI 20 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if PSI 20 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in PSI 20 index over time.
Current vs Lagged Prices |
| Timeline |
PSI 20 Lagged Returns
When evaluating PSI 20's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of PSI 20 index have on its future price. PSI 20 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, PSI 20 autocorrelation shows the relationship between PSI 20 index current value and its past values and can show if there is a momentum factor associated with investing in PSI 20 Stock.
Regressed Prices |
| Timeline |