BCAP Mid (Thailand) Market Value
| BMSCG Etf | 8.57 0.07 0.82% |
| Symbol | BCAP |
BCAP Mid '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 BCAP Mid'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 BCAP Mid.
| 11/21/2024 |
| 12/21/2024 |
If you would invest 0.00 in BCAP Mid on November 21, 2024 and sell it all today you would earn a total of 0.00 from holding BCAP Mid Small or generate 0.0% return on investment in BCAP Mid over 30 days.
BCAP Mid 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 BCAP Mid'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 BCAP Mid Small upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 6.27 | |||
| Value At Risk | (1.59) | |||
| Potential Upside | 1.23 |
BCAP Mid Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BCAP Mid's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BCAP Mid's standard deviation. In reality, there are many statistical measures that can use BCAP Mid historical prices to predict the future BCAP Mid's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.18) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | (1.15) |
BCAP Mid Small Backtested Returns
BCAP Mid Small retains Efficiency (Sharpe Ratio) of -0.29, which signifies that the etf had a -0.29% return per unit of risk over the last 3 months. BCAP Mid exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm BCAP Mid's market risk adjusted performance of (1.14), and Variance of 0.8675 to double-check the risk estimate we provide. The entity owns a Beta (Systematic Risk) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BCAP Mid's returns are expected to increase less than the market. However, during the bear market, the loss of holding BCAP Mid is expected to be smaller as well.
Auto-correlation | -0.41 |
Modest reverse predictability
BCAP Mid Small has modest reverse predictability. Overlapping area represents the amount of predictability between BCAP Mid time series from 21st of November 2024 to 6th of December 2024 and 6th of December 2024 to 21st 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 BCAP Mid Small price movement. The serial correlation of -0.41 indicates that just about 41.0% of current BCAP Mid price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.41 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
BCAP Mid Small lagged returns against current returns
Autocorrelation, which is BCAP Mid 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 BCAP Mid's etf expected returns. We can calculate the autocorrelation of BCAP Mid returns to help us make a trade decision. For example, suppose you find that BCAP Mid 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 |
BCAP Mid 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 BCAP Mid etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BCAP Mid etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BCAP Mid etf over time.
Current vs Lagged Prices |
| Timeline |
BCAP Mid Lagged Returns
When evaluating BCAP Mid's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BCAP Mid etf have on its future price. BCAP Mid 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, BCAP Mid autocorrelation shows the relationship between BCAP Mid etf current value and its past values and can show if there is a momentum factor associated with investing in BCAP Mid Small.
Regressed Prices |
| Timeline |
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