BIST Sustainability (Turkey) Market Value
| XUSRD Index | 12,829 75.38 0.58% |
| Symbol | BIST |
BIST Sustainability '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 Sustainability'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 Sustainability.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in BIST Sustainability on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding BIST Sustainability or generate 0.0% return on investment in BIST Sustainability over 30 days.
BIST Sustainability 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 Sustainability'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 Sustainability upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.05 | |||
| Information Ratio | 0.1633 | |||
| Maximum Drawdown | 6.8 | |||
| Value At Risk | (1.80) | |||
| Potential Upside | 2.63 |
BIST Sustainability Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BIST Sustainability's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BIST Sustainability's standard deviation. In reality, there are many statistical measures that can use BIST Sustainability historical prices to predict the future BIST Sustainability's volatility.| Risk Adjusted Performance | 0.1447 | |||
| Total Risk Alpha | 0.1286 | |||
| Sortino Ratio | 0.2216 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BIST Sustainability'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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as BIST Sustainability. Your research has to be compared to or analyzed against BIST Sustainability's peers to derive any actionable benefits. When done correctly, BIST Sustainability's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in BIST Sustainability.
BIST Sustainability Backtested Returns
BIST Sustainability secures Sharpe Ratio (or Efficiency) of 0.23, which signifies that the index had a 0.23% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for BIST Sustainability, 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 BIST Sustainability are completely uncorrelated.
Auto-correlation | -0.45 |
Modest reverse predictability
BIST Sustainability has modest reverse predictability. Overlapping area represents the amount of predictability between BIST Sustainability time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of April 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 Sustainability price movement. The serial correlation of -0.45 indicates that just about 45.0% of current BIST Sustainability price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.45 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 14.3 K |
BIST Sustainability lagged returns against current returns
Autocorrelation, which is BIST Sustainability 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 Sustainability's index expected returns. We can calculate the autocorrelation of BIST Sustainability returns to help us make a trade decision. For example, suppose you find that BIST Sustainability 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 Sustainability 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 Sustainability index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BIST Sustainability index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BIST Sustainability index over time.
Current vs Lagged Prices |
| Timeline |
BIST Sustainability Lagged Returns
When evaluating BIST Sustainability's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BIST Sustainability index have on its future price. BIST Sustainability 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 Sustainability autocorrelation shows the relationship between BIST Sustainability index current value and its past values and can show if there is a momentum factor associated with investing in BIST Sustainability.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Your Current Watchlist to better understand how to build diversified portfolios. Also, note that the market value of any index could be tightly coupled with the direction of predictive economic indicators such as signals in unemployment. Note that the BIST Sustainability information on this page should be used as a complementary analysis to other BIST Sustainability's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
BIST Sustainability technical index analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, index market cycles, or different charting patterns.