VanEck Morningstar (Australia) Market Value
| MOAT Etf | 132.20 0.21 0.16% |
| Symbol | VanEck |
VanEck Morningstar '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 Morningstar'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 Morningstar.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in VanEck Morningstar on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding VanEck Morningstar Wide or generate 0.0% return on investment in VanEck Morningstar over 360 days. VanEck Morningstar is related to or competes with VanEck Vectors, VanEck FTSE, VanEck Vectors, VanEck Vectors. VanEck Morningstar is entity of Australia More
VanEck Morningstar 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 Morningstar'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 Morningstar Wide upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6391 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 4.05 | |||
| Value At Risk | (1.09) | |||
| Potential Upside | 1.35 |
VanEck Morningstar Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VanEck Morningstar's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VanEck Morningstar's standard deviation. In reality, there are many statistical measures that can use VanEck Morningstar historical prices to predict the future VanEck Morningstar's volatility.| Risk Adjusted Performance | 0.1169 | |||
| Jensen Alpha | 0.0676 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.3312 |
VanEck Morningstar Wide Backtested Returns
Currently, VanEck Morningstar Wide is very steady. VanEck Morningstar Wide owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the etf had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for VanEck Morningstar Wide, which you can use to evaluate the volatility of the etf. Please validate VanEck Morningstar's Coefficient Of Variation of 651.83, risk adjusted performance of 0.1169, and Semi Deviation of 0.4519 to confirm if the risk estimate we provide is consistent with the expected return of 0.12%. The entity has a beta of 0.31, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, VanEck Morningstar's returns are expected to increase less than the market. However, during the bear market, the loss of holding VanEck Morningstar is expected to be smaller as well.
Auto-correlation | 0.72 |
Good predictability
VanEck Morningstar Wide has good predictability. Overlapping area represents the amount of predictability between VanEck Morningstar time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd 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 Morningstar Wide price movement. The serial correlation of 0.72 indicates that around 72.0% of current VanEck Morningstar price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 27.77 |
VanEck Morningstar Wide lagged returns against current returns
Autocorrelation, which is VanEck Morningstar 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 Morningstar's etf expected returns. We can calculate the autocorrelation of VanEck Morningstar returns to help us make a trade decision. For example, suppose you find that VanEck Morningstar 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 |
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VanEck Morningstar 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 Morningstar etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VanEck Morningstar etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VanEck Morningstar etf over time.
Current vs Lagged Prices |
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VanEck Morningstar Lagged Returns
When evaluating VanEck Morningstar's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VanEck Morningstar etf have on its future price. VanEck Morningstar 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 Morningstar autocorrelation shows the relationship between VanEck Morningstar etf current value and its past values and can show if there is a momentum factor associated with investing in VanEck Morningstar Wide.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Check out VanEck Morningstar Correlation, VanEck Morningstar Volatility and VanEck Morningstar Alpha and Beta module to complement your research on VanEck Morningstar. You can also try the Risk-Return Analysis module to view associations between returns expected from investment and the risk you assume.
VanEck Morningstar technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.