Deka MSCI (Germany) Market Value
| ELFW Etf | EUR 36.46 0.66 1.78% |
| Symbol | Deka |
Deka MSCI '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 MSCI'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 MSCI.
| 12/31/2022 |
| 12/20/2024 |
If you would invest 0.00 in Deka MSCI on December 31, 2022 and sell it all today you would earn a total of 0.00 from holding Deka MSCI World or generate 0.0% return on investment in Deka MSCI over 720 days. Deka MSCI is related to or competes with Xtrackers Nikkei, IShares VII, SPDR Gold, IShares Nikkei, IShares Core, and IShares Core. DEKA MSCI is traded on Frankfurt Stock Exchange in Germany. More
Deka MSCI 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 MSCI'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 MSCI World upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5691 | |||
| Information Ratio | 0.1157 | |||
| Maximum Drawdown | 3.79 | |||
| Value At Risk | (0.84) | |||
| Potential Upside | 1.56 |
Deka MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deka MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deka MSCI's standard deviation. In reality, there are many statistical measures that can use Deka MSCI historical prices to predict the future Deka MSCI's volatility.| Risk Adjusted Performance | 0.128 | |||
| Jensen Alpha | 0.0991 | |||
| Total Risk Alpha | 0.0849 | |||
| Sortino Ratio | 0.1451 | |||
| Treynor Ratio | 0.36 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deka MSCI'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 MSCI World Backtested Returns
At this point, Deka MSCI is very steady. Deka MSCI World secures Sharpe Ratio (or Efficiency) of 0.17, which denotes the etf had a 0.17% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Deka MSCI World, which you can use to evaluate the volatility of the entity. Please confirm Deka MSCI's Downside Deviation of 0.5691, coefficient of variation of 615.09, and Mean Deviation of 0.4828 to check if the risk estimate we provide is consistent with the expected return of 0.12%. The etf shows a Beta (market volatility) of 0.29, which means not very significant fluctuations relative to the market. As returns on the market increase, Deka MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Deka MSCI is expected to be smaller as well.
Auto-correlation | 0.79 |
Good predictability
Deka MSCI World has good predictability. Overlapping area represents the amount of predictability between Deka MSCI time series from 31st of December 2022 to 26th of December 2023 and 26th of December 2023 to 20th 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 MSCI World price movement. The serial correlation of 0.79 indicates that around 79.0% of current Deka MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 4.05 |
Deka MSCI World lagged returns against current returns
Autocorrelation, which is Deka MSCI 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 MSCI's etf expected returns. We can calculate the autocorrelation of Deka MSCI returns to help us make a trade decision. For example, suppose you find that Deka MSCI 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 MSCI 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 MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deka MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deka MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
Deka MSCI Lagged Returns
When evaluating Deka MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deka MSCI etf have on its future price. Deka MSCI 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 MSCI autocorrelation shows the relationship between Deka MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in Deka MSCI World.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Deka Etf
Deka MSCI 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 MSCI security.