NewFunds GOVI (South Africa) Market Value
| STXGVI Etf | 7,768 33.00 0.42% |
| Symbol | NewFunds |
NewFunds GOVI '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 NewFunds GOVI'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 NewFunds GOVI.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in NewFunds GOVI on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding NewFunds GOVI Exchange or generate 0.0% return on investment in NewFunds GOVI over 30 days.
NewFunds GOVI 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 NewFunds GOVI'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 NewFunds GOVI Exchange upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 4.69 | |||
| Value At Risk | (0.76) | |||
| Potential Upside | 0.7313 |
NewFunds GOVI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NewFunds GOVI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NewFunds GOVI's standard deviation. In reality, there are many statistical measures that can use NewFunds GOVI historical prices to predict the future NewFunds GOVI's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.11) | |||
| Treynor Ratio | (0.63) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NewFunds GOVI'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.
NewFunds GOVI Exchange Backtested Returns
NewFunds GOVI Exchange has Sharpe Ratio of -0.0629, which conveys that the entity had a -0.0629% return per unit of risk over the last 3 months. NewFunds GOVI exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify NewFunds GOVI's Mean Deviation of 0.4057, standard deviation of 0.6456, and Risk Adjusted Performance of (0.02) to check out the risk estimate we provide. The etf secures a Beta (Market Risk) of 0.0403, which conveys not very significant fluctuations relative to the market. As returns on the market increase, NewFunds GOVI's returns are expected to increase less than the market. However, during the bear market, the loss of holding NewFunds GOVI is expected to be smaller as well.
Auto-correlation | -0.21 |
Weak reverse predictability
NewFunds GOVI Exchange has weak reverse predictability. Overlapping area represents the amount of predictability between NewFunds GOVI time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 NewFunds GOVI Exchange price movement. The serial correlation of -0.21 indicates that over 21.0% of current NewFunds GOVI price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.21 | |
| Spearman Rank Test | -0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 513.34 |
NewFunds GOVI Exchange lagged returns against current returns
Autocorrelation, which is NewFunds GOVI 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 NewFunds GOVI's etf expected returns. We can calculate the autocorrelation of NewFunds GOVI returns to help us make a trade decision. For example, suppose you find that NewFunds GOVI 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 |
NewFunds GOVI 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 NewFunds GOVI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NewFunds GOVI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NewFunds GOVI etf over time.
Current vs Lagged Prices |
| Timeline |
NewFunds GOVI Lagged Returns
When evaluating NewFunds GOVI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NewFunds GOVI etf have on its future price. NewFunds GOVI 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, NewFunds GOVI autocorrelation shows the relationship between NewFunds GOVI etf current value and its past values and can show if there is a momentum factor associated with investing in NewFunds GOVI Exchange.
Regressed Prices |
| Timeline |