Expat Czech (Germany) Market Value
| CZX Etf | 1.75 0.04 2.34% |
| Symbol | Expat |
Expat Czech '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 Expat Czech's etf 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 Expat Czech.
| 12/16/2024 |
| 03/16/2025 |
If you would invest 0.00 in Expat Czech on December 16, 2024 and sell it all today you would earn a total of 0.00 from holding Expat Czech PX or generate 0.0% return on investment in Expat Czech over 90 days.
Expat Czech 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 Expat Czech's etf 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 Expat Czech PX upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.44 | |||
| Information Ratio | 0.3874 | |||
| Maximum Drawdown | 4.93 | |||
| Value At Risk | (1.74) | |||
| Potential Upside | 2.01 |
Expat Czech Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Expat Czech's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Expat Czech's standard deviation. In reality, there are many statistical measures that can use Expat Czech historical prices to predict the future Expat Czech's volatility.| Risk Adjusted Performance | 0.2501 | |||
| Jensen Alpha | 0.2989 | |||
| Total Risk Alpha | 0.392 | |||
| Sortino Ratio | 0.2632 | |||
| Treynor Ratio | 1.0 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Expat Czech'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.
Expat Czech PX Backtested Returns
Expat Czech appears to be slightly risky, given 3 months investment horizon. Expat Czech PX secures Sharpe Ratio (or Efficiency) of 0.26, which denotes the etf had a 0.26 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Expat Czech PX, which you can use to evaluate the volatility of the entity. Please utilize Expat Czech's Coefficient Of Variation of 349.58, downside deviation of 1.44, and Mean Deviation of 0.7223 to check if our risk estimates are consistent with your expectations. The etf shows a Beta (market volatility) of 0.27, which means not very significant fluctuations relative to the market. As returns on the market increase, Expat Czech's returns are expected to increase less than the market. However, during the bear market, the loss of holding Expat Czech is expected to be smaller as well.
Auto-correlation | 0.70 |
Good predictability
Expat Czech PX has good predictability. Overlapping area represents the amount of predictability between Expat Czech time series from 16th of December 2024 to 30th of January 2025 and 30th of January 2025 to 16th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Expat Czech PX price movement. The serial correlation of 0.7 indicates that around 70.0% of current Expat Czech price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Expat Czech PX lagged returns against current returns
Autocorrelation, which is Expat Czech etf'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 Expat Czech's etf expected returns. We can calculate the autocorrelation of Expat Czech returns to help us make a trade decision. For example, suppose you find that Expat Czech has exhibited high autocorrelation historically, and you observe that the etf 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 |
Expat Czech 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 Expat Czech etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Expat Czech etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Expat Czech etf over time.
Current vs Lagged Prices |
| Timeline |
Expat Czech Lagged Returns
When evaluating Expat Czech's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Expat Czech etf have on its future price. Expat Czech 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, Expat Czech autocorrelation shows the relationship between Expat Czech etf current value and its past values and can show if there is a momentum factor associated with investing in Expat Czech PX.
Regressed Prices |
| Timeline |