VanEck Vectors (Australia) Market Value
| QUAL Etf | 57.40 0.22 0.38% |
| Symbol | VanEck |
VanEck Vectors '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 Vectors' 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 Vectors.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in VanEck Vectors on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding VanEck Vectors MSCI or generate 0.0% return on investment in VanEck Vectors over 360 days. VanEck Vectors is related to or competes with VanEck Vectors, VanEck FTSE, VanEck Vectors, VanEck Morningstar, and . More
VanEck Vectors 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 Vectors' 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 Vectors MSCI upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8641 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 8.25 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.32 |
VanEck Vectors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VanEck Vectors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VanEck Vectors' standard deviation. In reality, there are many statistical measures that can use VanEck Vectors historical prices to predict the future VanEck Vectors' volatility.| Risk Adjusted Performance | 0.0784 | |||
| Jensen Alpha | 0.0969 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (1.37) |
VanEck Vectors MSCI Backtested Returns
Currently, VanEck Vectors MSCI is very steady. VanEck Vectors MSCI owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0996, which indicates the etf had a 0.0996% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for VanEck Vectors MSCI, which you can use to evaluate the volatility of the etf. Please validate VanEck Vectors' Risk Adjusted Performance of 0.0784, semi deviation of 0.7097, and Coefficient Of Variation of 1004.31 to confirm if the risk estimate we provide is consistent with the expected return of 0.0994%. The entity has a beta of -0.0651, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning VanEck Vectors are expected to decrease at a much lower rate. During the bear market, VanEck Vectors is likely to outperform the market.
Auto-correlation | 0.34 |
Below average predictability
VanEck Vectors MSCI has below average predictability. Overlapping area represents the amount of predictability between VanEck Vectors 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 Vectors MSCI price movement. The serial correlation of 0.34 indicates that nearly 34.0% of current VanEck Vectors price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.34 | |
| Spearman Rank Test | 0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 |
VanEck Vectors MSCI lagged returns against current returns
Autocorrelation, which is VanEck Vectors 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 Vectors' etf expected returns. We can calculate the autocorrelation of VanEck Vectors returns to help us make a trade decision. For example, suppose you find that VanEck Vectors 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 Vectors 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 Vectors etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VanEck Vectors etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VanEck Vectors etf over time.
Current vs Lagged Prices |
| Timeline |
VanEck Vectors Lagged Returns
When evaluating VanEck Vectors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VanEck Vectors etf have on its future price. VanEck Vectors 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 Vectors autocorrelation shows the relationship between VanEck Vectors etf current value and its past values and can show if there is a momentum factor associated with investing in VanEck Vectors MSCI.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in VanEck Etf
VanEck Vectors 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 Vectors security.