Algebris UCITS (Germany) Market Value
| 0P00018E8C | 149.09 0.00 0.00% |
| Symbol | Algebris |
Algebris UCITS '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 Algebris UCITS'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 Algebris UCITS.
| 11/30/2024 |
| 12/30/2024 |
If you would invest 0.00 in Algebris UCITS on November 30, 2024 and sell it all today you would earn a total of 0.00 from holding Algebris UCITS Funds or generate 0.0% return on investment in Algebris UCITS over 30 days.
Algebris UCITS 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 Algebris UCITS'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 Algebris UCITS Funds upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1311 | |||
| Information Ratio | (0.17) | |||
| Maximum Drawdown | 0.6842 | |||
| Value At Risk | (0.17) | |||
| Potential Upside | 0.1816 |
Algebris UCITS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Algebris UCITS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Algebris UCITS's standard deviation. In reality, there are many statistical measures that can use Algebris UCITS historical prices to predict the future Algebris UCITS's volatility.| Risk Adjusted Performance | 0.0105 | |||
| Jensen Alpha | 3.0E-4 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.17) | |||
| Treynor Ratio | (0.01) |
Algebris UCITS Funds Backtested Returns
At this point, Algebris UCITS is very steady. Algebris UCITS Funds secures Sharpe Ratio (or Efficiency) of 0.0445, which signifies that the fund had a 0.0445% return per unit of standard deviation over the last 3 months. We have found twenty-four technical indicators for Algebris UCITS Funds, which you can use to evaluate the volatility of the entity. Please confirm Algebris UCITS's risk adjusted performance of 0.0105, and Mean Deviation of 0.102 to double-check if the risk estimate we provide is consistent with the expected return of 0.0058%. The fund shows a Beta (market volatility) of -0.0092, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Algebris UCITS are expected to decrease at a much lower rate. During the bear market, Algebris UCITS is likely to outperform the market.
Auto-correlation | -0.13 |
Insignificant reverse predictability
Algebris UCITS Funds has insignificant reverse predictability. Overlapping area represents the amount of predictability between Algebris UCITS time series from 30th of November 2024 to 15th of December 2024 and 15th of December 2024 to 30th 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 Algebris UCITS Funds price movement. The serial correlation of -0.13 indicates that less than 13.0% of current Algebris UCITS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.13 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Algebris UCITS Funds lagged returns against current returns
Autocorrelation, which is Algebris UCITS 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 Algebris UCITS's fund expected returns. We can calculate the autocorrelation of Algebris UCITS returns to help us make a trade decision. For example, suppose you find that Algebris UCITS 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 |
Algebris UCITS 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 Algebris UCITS fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Algebris UCITS fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Algebris UCITS fund over time.
Current vs Lagged Prices |
| Timeline |
Algebris UCITS Lagged Returns
When evaluating Algebris UCITS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Algebris UCITS fund have on its future price. Algebris UCITS 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, Algebris UCITS autocorrelation shows the relationship between Algebris UCITS fund current value and its past values and can show if there is a momentum factor associated with investing in Algebris UCITS Funds.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
| Sign In To Macroaxis Sign in to explore Macroaxis' wealth optimization platform and fintech modules | |
| Bond Analysis Evaluate and analyze corporate bonds as a potential investment for your portfolios. | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities | |
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals |