Deka STOXX (Germany) Market Value
| EL4D Etf | EUR 29.01 0.03 0.10% |
| Symbol | Deka |
Deka STOXX '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 Deka STOXX'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 Deka STOXX.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Deka STOXX on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Deka STOXX Europe or generate 0.0% return on investment in Deka STOXX over 30 days. Deka STOXX is related to or competes with UBS Fund, Xtrackers, Xtrackers Nikkei, IShares VII, SPDR Gold, Vanguard Funds, and IShares Nikkei. The investment seeks to track the price and performance yield, before fees and expenses, of the STOXX Europe Strong Valu... More
Deka STOXX 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 Deka STOXX'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 Deka STOXX Europe upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9462 | |||
| Information Ratio | 0.0907 | |||
| Maximum Drawdown | 8.76 | |||
| Value At Risk | (1.54) | |||
| Potential Upside | 1.76 |
Deka STOXX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deka STOXX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deka STOXX's standard deviation. In reality, there are many statistical measures that can use Deka STOXX historical prices to predict the future Deka STOXX's volatility.| Risk Adjusted Performance | 0.1278 | |||
| Jensen Alpha | 0.1939 | |||
| Total Risk Alpha | 0.0479 | |||
| Sortino Ratio | 0.1203 | |||
| Treynor Ratio | 1.83 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deka STOXX's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Deka STOXX Europe Backtested Returns
At this point, Deka STOXX is very steady. Deka STOXX Europe secures Sharpe Ratio (or Efficiency) of 0.15, which denotes the etf had a 0.15% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Deka STOXX Europe, which you can use to evaluate the volatility of the entity. Please confirm Deka STOXX's Downside Deviation of 0.9462, coefficient of variation of 586.88, and Mean Deviation of 0.8773 to check if the risk estimate we provide is consistent with the expected return of 0.19%. The etf shows a Beta (market volatility) of 0.11, which means not very significant fluctuations relative to the market. As returns on the market increase, Deka STOXX's returns are expected to increase less than the market. However, during the bear market, the loss of holding Deka STOXX is expected to be smaller as well.
Auto-correlation | 0.52 |
Modest predictability
Deka STOXX Europe has modest predictability. Overlapping area represents the amount of predictability between Deka STOXX time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Deka STOXX Europe price movement. The serial correlation of 0.52 indicates that about 52.0% of current Deka STOXX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Deka STOXX Europe lagged returns against current returns
Autocorrelation, which is Deka STOXX 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 Deka STOXX's etf expected returns. We can calculate the autocorrelation of Deka STOXX returns to help us make a trade decision. For example, suppose you find that Deka STOXX 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 |
Deka STOXX 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 Deka STOXX etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deka STOXX etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deka STOXX etf over time.
Current vs Lagged Prices |
| Timeline |
Deka STOXX Lagged Returns
When evaluating Deka STOXX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deka STOXX etf have on its future price. Deka STOXX 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, Deka STOXX autocorrelation shows the relationship between Deka STOXX etf current value and its past values and can show if there is a momentum factor associated with investing in Deka STOXX Europe.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Deka Etf
Deka STOXX financial ratios help investors to determine whether Deka 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 Deka with respect to the benefits of owning Deka STOXX security.