# PSI 20 (Portugal) Market Value

PSI20 Index | 6,200 41.63 0.68% |

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.

09/11/2022 |
| 03/04/2024 |

If you would invest

**0.00**in PSI 20 on**September 11, 2022**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**540**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 | (0.29) | |||

Maximum Drawdown | 3.62 | |||

Value At Risk | (1.22) | |||

Potential Upside | 1.11 |

## 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.Risk Adjusted Performance | (0.04) | |||

Total Risk Alpha | (0.25) |

Sophisticated investors, who have witnessed many market ups and downs, frequently view 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. Please use the tools below to analyze the current value of PSI 20 in the context of predictive analytics.

Please note, it is not enough to conduct a financial or market analysis of a single entity such as PSI 20. Your research has to be compared to or analyzed against PSI 20's peers to derive any actionable benefits. When done correctly, PSI 20'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 PSI 20 Stock.
## PSI 20 Stock Backtested Returns

PSI 20 Stock maintains Sharpe Ratio (i.e., Efficiency) of -0.12, which implies the entity had -0.12% return per unit of volatility over the last 3 months. Our approach towards forecasting the risk of any index is to look at both systematic and unsystematic factors of the business, including all available market data and technical indicators. PSI 20 Stock exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its stock price that cannot be diversified away. 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. Our approach towards forecasting any index's future performance is to check both, its past performance charts as well as the business as a whole, including all available technical indicators.

## Auto-correlation | 0.58 |

### Modest predictability

PSI 20 Stock has modest predictability. Overlapping area represents the amount of predictability between PSI 20 time series from 11th of September 2022 to 8th of June 2023 and 8th of June 2023 to 4th of March 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

**0.58**indicates that roughly 58.0% of current PSI 20 price fluctuation can be explain by its past prices.Correlation Coefficient | 0.58 | |

Spearman Rank Test | 0.45 | |

Residual Average | 0.0 | |

Price Variance | 32.5 K |

## 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 index has exhibited high autocorrelation historically, and you observe that the stock is moving up for the past few days. In that case, you can expect the stock 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 |

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## Complementary Tools for PSI Index analysis

When running PSI 20's price analysis, check to measure PSI 20's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy PSI 20 is operating at the current time. Most of PSI 20's value examination focuses on studying past and present price action to predict the probability of PSI 20's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move PSI 20's price. Additionally, you may evaluate how the addition of PSI 20 to your portfolios can decrease your overall portfolio volatility.

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PSI 20 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.