ALM Offensif (Germany) Market Value
| 0P00000GIZ | EUR 321.68 2.16 0.68% |
| Symbol | ALM |
ALM Offensif '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 ALM Offensif's fund 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 ALM Offensif.
| 10/23/2024 |
| 12/22/2024 |
If you would invest 0.00 in ALM Offensif on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding ALM Offensif or generate 0.0% return on investment in ALM Offensif over 60 days. ALM Offensif is related to or competes with Xtrackers ShortDAX, Lyxor 1, and Xtrackers LevDAX. Le fonds a pour objectif de raliser sur la dure de placement recommande une performance gale celle de lindice composite ... More
ALM Offensif 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 ALM Offensif's fund 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 ALM Offensif upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4064 | |||
| Information Ratio | 0.0927 | |||
| Maximum Drawdown | 2.4 | |||
| Value At Risk | (0.64) | |||
| Potential Upside | 0.8564 |
ALM Offensif Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ALM Offensif's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ALM Offensif's standard deviation. In reality, there are many statistical measures that can use ALM Offensif historical prices to predict the future ALM Offensif's volatility.| Risk Adjusted Performance | 0.1218 | |||
| Jensen Alpha | 0.0628 | |||
| Total Risk Alpha | 0.0518 | |||
| Sortino Ratio | 0.1044 | |||
| Treynor Ratio | 0.8176 |
ALM Offensif Backtested Returns
At this point, ALM Offensif is very steady. ALM Offensif secures Sharpe Ratio (or Efficiency) of 0.15, which signifies that the fund had a 0.15% return per unit of return volatility over the last 3 months. We have found twenty-eight technical indicators for ALM Offensif, which you can use to evaluate the volatility of the entity. Please confirm ALM Offensif's Risk Adjusted Performance of 0.1218, semi deviation of 0.2203, and Mean Deviation of 0.3386 to double-check if the risk estimate we provide is consistent with the expected return of 0.0683%. The fund shows a Beta (market volatility) of 0.079, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ALM Offensif's returns are expected to increase less than the market. However, during the bear market, the loss of holding ALM Offensif is expected to be smaller as well.
Auto-correlation | 0.22 |
Weak predictability
ALM Offensif has weak predictability. Overlapping area represents the amount of predictability between ALM Offensif time series from 23rd of October 2024 to 22nd of November 2024 and 22nd of November 2024 to 22nd of December 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 ALM Offensif price movement. The serial correlation of 0.22 indicates that over 22.0% of current ALM Offensif price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.22 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 3.86 |
ALM Offensif lagged returns against current returns
Autocorrelation, which is ALM Offensif fund'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 ALM Offensif's fund expected returns. We can calculate the autocorrelation of ALM Offensif returns to help us make a trade decision. For example, suppose you find that ALM Offensif has exhibited high autocorrelation historically, and you observe that the fund 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 |
ALM Offensif 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 ALM Offensif fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ALM Offensif fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ALM Offensif fund over time.
Current vs Lagged Prices |
| Timeline |
ALM Offensif Lagged Returns
When evaluating ALM Offensif's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ALM Offensif fund have on its future price. ALM Offensif 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, ALM Offensif autocorrelation shows the relationship between ALM Offensif fund current value and its past values and can show if there is a momentum factor associated with investing in ALM Offensif.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in ALM Fund
ALM Offensif financial ratios help investors to determine whether ALM Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in ALM with respect to the benefits of owning ALM Offensif security.
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