Beta MWIG40TR (Poland) Market Value
| ETFBM40TR | 111.16 0.80 0.72% |
| Symbol | Beta |
Beta MWIG40TR '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 Beta MWIG40TR'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 Beta MWIG40TR.
| 12/19/2024 |
| 03/19/2025 |
If you would invest 0.00 in Beta MWIG40TR on December 19, 2024 and sell it all today you would earn a total of 0.00 from holding Beta mWIG40TR Portfelowy or generate 0.0% return on investment in Beta MWIG40TR over 90 days.
Beta MWIG40TR 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 Beta MWIG40TR'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 Beta mWIG40TR Portfelowy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9474 | |||
| Information Ratio | 0.2885 | |||
| Maximum Drawdown | 5.89 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 1.77 |
Beta MWIG40TR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Beta MWIG40TR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Beta MWIG40TR's standard deviation. In reality, there are many statistical measures that can use Beta MWIG40TR historical prices to predict the future Beta MWIG40TR's volatility.| Risk Adjusted Performance | 0.1852 | |||
| Jensen Alpha | 0.2255 | |||
| Total Risk Alpha | 0.3094 | |||
| Sortino Ratio | 0.311 | |||
| Treynor Ratio | 0.852 |
Beta mWIG40TR Portfelowy Backtested Returns
Beta MWIG40TR appears to be very steady, given 3 months investment horizon. Beta mWIG40TR Portfelowy secures Sharpe Ratio (or Efficiency) of 0.28, which signifies that the etf had a 0.28 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Beta mWIG40TR Portfelowy, which you can use to evaluate the volatility of the entity. Please makes use of Beta MWIG40TR's Downside Deviation of 0.9474, risk adjusted performance of 0.1852, and Mean Deviation of 0.7954 to double-check if our risk estimates are consistent with your expectations. The etf shows a Beta (market volatility) of 0.24, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Beta MWIG40TR's returns are expected to increase less than the market. However, during the bear market, the loss of holding Beta MWIG40TR is expected to be smaller as well.
Auto-correlation | 0.50 |
Modest predictability
Beta mWIG40TR Portfelowy has modest predictability. Overlapping area represents the amount of predictability between Beta MWIG40TR time series from 19th of December 2024 to 2nd of February 2025 and 2nd of February 2025 to 19th of March 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Beta mWIG40TR Portfelowy price movement. The serial correlation of 0.5 indicates that about 50.0% of current Beta MWIG40TR price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 3.3 |
Beta mWIG40TR Portfelowy lagged returns against current returns
Autocorrelation, which is Beta MWIG40TR 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 Beta MWIG40TR's etf expected returns. We can calculate the autocorrelation of Beta MWIG40TR returns to help us make a trade decision. For example, suppose you find that Beta MWIG40TR 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 |
Beta MWIG40TR 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 Beta MWIG40TR etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Beta MWIG40TR etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Beta MWIG40TR etf over time.
Current vs Lagged Prices |
| Timeline |
Beta MWIG40TR Lagged Returns
When evaluating Beta MWIG40TR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Beta MWIG40TR etf have on its future price. Beta MWIG40TR 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, Beta MWIG40TR autocorrelation shows the relationship between Beta MWIG40TR etf current value and its past values and can show if there is a momentum factor associated with investing in Beta mWIG40TR Portfelowy.
Regressed Prices |
| Timeline |
Pair Trading with Beta MWIG40TR
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Beta MWIG40TR position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Beta MWIG40TR will appreciate offsetting losses from the drop in the long position's value.Moving together with Beta Etf
| 0.95 | ETFBW20TR | Beta WIG20TR Portfelowy | PairCorr |
| 0.94 | ETFBCASH | Beta ETF Obligacji | PairCorr |
| 0.94 | ETFBW20LV | Beta ETF WIG20lev | PairCorr |
The ability to find closely correlated positions to Beta MWIG40TR could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Beta MWIG40TR when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Beta MWIG40TR - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Beta mWIG40TR Portfelowy to buy it.
The correlation of Beta MWIG40TR is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Beta MWIG40TR moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Beta mWIG40TR Portfelowy moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Beta MWIG40TR can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.