BNPP BONDSRI (France) Market Value
| SRICD Etf | 9.48 0.03 0.32% |
| Symbol | BNPP |
BNPP BONDSRI '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 BNPP BONDSRI'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 BNPP BONDSRI.
| 01/01/2023 |
| 12/21/2024 |
If you would invest 0.00 in BNPP BONDSRI on January 1, 2023 and sell it all today you would earn a total of 0.00 from holding BNPP BONDSRI ETF or generate 0.0% return on investment in BNPP BONDSRI over 720 days.
BNPP BONDSRI 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 BNPP BONDSRI'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 BNPP BONDSRI ETF upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2219 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 0.8496 | |||
| Value At Risk | (0.32) | |||
| Potential Upside | 0.3195 |
BNPP BONDSRI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BNPP BONDSRI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BNPP BONDSRI's standard deviation. In reality, there are many statistical measures that can use BNPP BONDSRI historical prices to predict the future BNPP BONDSRI's volatility.| Risk Adjusted Performance | 0.0551 | |||
| Jensen Alpha | 0.0106 | |||
| Total Risk Alpha | 0.0056 | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.4572 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of BNPP BONDSRI'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.
BNPP BONDSRI ETF Backtested Returns
Currently, BNPP BONDSRI ETF is very steady. BNPP BONDSRI ETF secures Sharpe Ratio (or Efficiency) of 0.0922, which signifies that the etf had a 0.0922% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BNPP BONDSRI ETF, which you can use to evaluate the volatility of the entity. Please confirm BNPP BONDSRI's mean deviation of 0.1494, and Risk Adjusted Performance of 0.0551 to double-check if the risk estimate we provide is consistent with the expected return of 0.0179%. The etf shows a Beta (market volatility) of 0.0243, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BNPP BONDSRI's returns are expected to increase less than the market. However, during the bear market, the loss of holding BNPP BONDSRI is expected to be smaller as well.
Auto-correlation | 0.42 |
Average predictability
BNPP BONDSRI ETF has average predictability. Overlapping area represents the amount of predictability between BNPP BONDSRI time series from 1st of January 2023 to 27th of December 2023 and 27th of December 2023 to 21st 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 BNPP BONDSRI ETF price movement. The serial correlation of 0.42 indicates that just about 42.0% of current BNPP BONDSRI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
BNPP BONDSRI ETF lagged returns against current returns
Autocorrelation, which is BNPP BONDSRI 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 BNPP BONDSRI's etf expected returns. We can calculate the autocorrelation of BNPP BONDSRI returns to help us make a trade decision. For example, suppose you find that BNPP BONDSRI 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 |
BNPP BONDSRI 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 BNPP BONDSRI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BNPP BONDSRI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BNPP BONDSRI etf over time.
Current vs Lagged Prices |
| Timeline |
BNPP BONDSRI Lagged Returns
When evaluating BNPP BONDSRI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BNPP BONDSRI etf have on its future price. BNPP BONDSRI 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, BNPP BONDSRI autocorrelation shows the relationship between BNPP BONDSRI etf current value and its past values and can show if there is a momentum factor associated with investing in BNPP BONDSRI ETF.
Regressed Prices |
| Timeline |