CROBEX (Croatia) Market Value
| CRBEX Index | 3,162 2.97 0.09% |
| Symbol | CROBEX |
CROBEX '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 CROBEX'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 CROBEX.
| 09/01/2024 |
| 11/30/2024 |
If you would invest 0.00 in CROBEX on September 1, 2024 and sell it all today you would earn a total of 0.00 from holding CROBEX or generate 0.0% return on investment in CROBEX over 90 days.
CROBEX 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 CROBEX'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 CROBEX upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3666 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 1.73 | |||
| Value At Risk | (0.46) | |||
| Potential Upside | 0.7893 |
CROBEX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CROBEX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CROBEX's standard deviation. In reality, there are many statistical measures that can use CROBEX historical prices to predict the future CROBEX's volatility.| Risk Adjusted Performance | 0.2207 | |||
| Total Risk Alpha | 0.0392 | |||
| Sortino Ratio | (0.08) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of CROBEX'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.
CROBEX Backtested Returns
CROBEX secures Sharpe Ratio (or Efficiency) of 0.31, which signifies that the index had a 0.31% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for CROBEX, 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 CROBEX are completely uncorrelated.
Auto-correlation | 0.39 |
Below average predictability
CROBEX has below average predictability. Overlapping area represents the amount of predictability between CROBEX time series from 1st of September 2024 to 16th of October 2024 and 16th of October 2024 to 30th 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 CROBEX price movement. The serial correlation of 0.39 indicates that just about 39.0% of current CROBEX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 1967.67 |
CROBEX lagged returns against current returns
Autocorrelation, which is CROBEX 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 CROBEX's index expected returns. We can calculate the autocorrelation of CROBEX returns to help us make a trade decision. For example, suppose you find that CROBEX 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 |
CROBEX 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 CROBEX index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CROBEX index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CROBEX index over time.
Current vs Lagged Prices |
| Timeline |
CROBEX Lagged Returns
When evaluating CROBEX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CROBEX index have on its future price. CROBEX 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, CROBEX autocorrelation shows the relationship between CROBEX index current value and its past values and can show if there is a momentum factor associated with investing in CROBEX.
Regressed Prices |
| Timeline |