VanEck FTSE (Australia) Market Value
| CETF Etf | 56.14 1.40 2.56% |
| Symbol | VanEck |
VanEck FTSE '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 VanEck FTSE'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 VanEck FTSE.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in VanEck FTSE on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding VanEck FTSE China or generate 0.0% return on investment in VanEck FTSE over 30 days. VanEck FTSE is related to or competes with ETFS Morningstar, BetaShares Geared, VanEck Vectors, SPDR SPASX, Beta Shares, SPDR SP, and IShares Core. VanEck FTSE is entity of Australia. It is traded as Etf on AU exchange. More
VanEck FTSE 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 VanEck FTSE'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 VanEck FTSE China upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.15 | |||
| Information Ratio | 0.0449 | |||
| Maximum Drawdown | 17.29 | |||
| Value At Risk | (2.27) | |||
| Potential Upside | 5.06 |
VanEck FTSE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VanEck FTSE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VanEck FTSE's standard deviation. In reality, there are many statistical measures that can use VanEck FTSE historical prices to predict the future VanEck FTSE's volatility.| Risk Adjusted Performance | 0.0837 | |||
| Jensen Alpha | 0.2061 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | 0.0516 | |||
| Treynor Ratio | 0.933 |
VanEck FTSE China Backtested Returns
VanEck FTSE appears to be very steady, given 3 months investment horizon. VanEck FTSE China owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the etf had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for VanEck FTSE China, which you can use to evaluate the volatility of the etf. Please review VanEck FTSE's Risk Adjusted Performance of 0.0837, coefficient of variation of 995.32, and Semi Deviation of 1.94 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, VanEck FTSE's returns are expected to increase less than the market. However, during the bear market, the loss of holding VanEck FTSE is expected to be smaller as well.
Auto-correlation | -0.35 |
Poor reverse predictability
VanEck FTSE China has poor reverse predictability. Overlapping area represents the amount of predictability between VanEck FTSE time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 VanEck FTSE China price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current VanEck FTSE price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.6 |
VanEck FTSE China lagged returns against current returns
Autocorrelation, which is VanEck FTSE 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 VanEck FTSE's etf expected returns. We can calculate the autocorrelation of VanEck FTSE returns to help us make a trade decision. For example, suppose you find that VanEck FTSE 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 |
VanEck FTSE 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 VanEck FTSE etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VanEck FTSE etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VanEck FTSE etf over time.
Current vs Lagged Prices |
| Timeline |
VanEck FTSE Lagged Returns
When evaluating VanEck FTSE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VanEck FTSE etf have on its future price. VanEck FTSE 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, VanEck FTSE autocorrelation shows the relationship between VanEck FTSE etf current value and its past values and can show if there is a momentum factor associated with investing in VanEck FTSE China.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in VanEck Etf
VanEck FTSE financial ratios help investors to determine whether VanEck Etf 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 VanEck with respect to the benefits of owning VanEck FTSE security.