Satrix 40 (South Africa) Performance

STX40 Etf   7,700  48.00  0.63%   
The entity has a beta of 0.0212, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Satrix 40's returns are expected to increase less than the market. However, during the bear market, the loss of holding Satrix 40 is expected to be smaller as well.

Risk-Adjusted Performance

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Over the last 90 days Satrix 40 ETF has generated negative risk-adjusted returns adding no value to investors with long positions. Even with relatively steady basic indicators, Satrix 40 is not utilizing all of its potentials. The current stock price chaos, may contribute to medium-term losses for the stakeholders. ...more
  

Satrix 40 Relative Risk vs. Return Landscape

If you would invest  781,734  in Satrix 40 ETF on September 25, 2024 and sell it today you would lose (11,734) from holding Satrix 40 ETF or give up 1.5% of portfolio value over 90 days. Satrix 40 ETF is generating negative expected returns and assumes 0.7194% volatility on return distribution over the 90 days horizon. Simply put, 6% of etfs are less volatile than Satrix, and 99% of all equity instruments are likely to generate higher returns than the company over the next 90 trading days.
  Expected Return   
       Risk  
Assuming the 90 days trading horizon Satrix 40 is expected to under-perform the market. But the company apears to be less risky and when comparing its historical volatility, the company is 1.12 times less risky than the market. the firm trades about -0.03 of its potential returns per unit of risk. The Dow Jones Industrial is currently generating roughly 0.07 of returns per unit of risk over similar time horizon.

Satrix 40 Market Risk Analysis

Today, many novice investors tend to focus exclusively on investment returns with little concern for Satrix 40's investment risk. Standard deviation is the most common way to measure market volatility of etfs, such as Satrix 40 ETF, and traders can use it to determine the average amount a Satrix 40's price has deviated from the expected return over a period of time. It is calculated by determining the expected price for the established period and then subtracting this figure from each price point. The differences are then squared, summed, and averaged to produce the variance.

Sharpe Ratio = -0.0293

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Negative ReturnsSTX40

Estimated Market Risk

 0.72
  actual daily
6
94% of assets are more volatile

Expected Return

 -0.02
  actual daily
0
Most of other assets have higher returns

Risk-Adjusted Return

 -0.03
  actual daily
0
Most of other assets perform better
Based on monthly moving average Satrix 40 is not performing at its full potential. However, if added to a well diversified portfolio the total return can be enhanced and market risk can be reduced. You can increase risk-adjusted return of Satrix 40 by adding Satrix 40 to a well-diversified portfolio.
Satrix 40 ETF generated a negative expected return over the last 90 days