Fondul Deschis (Romania) Market Value
| TVBETETF | 26.87 0.22 0.83% |
| Symbol | Fondul |
Fondul Deschis '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 Fondul Deschis' 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 Fondul Deschis.
| 11/26/2024 |
| 12/26/2024 |
If you would invest 0.00 in Fondul Deschis on November 26, 2024 and sell it all today you would earn a total of 0.00 from holding Fondul Deschis De or generate 0.0% return on investment in Fondul Deschis over 30 days.
Fondul Deschis 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 Fondul Deschis' 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 Fondul Deschis De upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 7.2 | |||
| Value At Risk | (2.14) | |||
| Potential Upside | 1.65 |
Fondul Deschis Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fondul Deschis' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fondul Deschis' standard deviation. In reality, there are many statistical measures that can use Fondul Deschis historical prices to predict the future Fondul Deschis' volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.12) | |||
| Treynor Ratio | 0.5843 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fondul Deschis' 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.
Fondul Deschis De Backtested Returns
Fondul Deschis De secures Sharpe Ratio (or Efficiency) of -0.0601, which denotes the etf had a -0.0601% return per unit of risk over the last 3 months. Fondul Deschis De exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fondul Deschis' Variance of 1.35, standard deviation of 1.16, and Mean Deviation of 0.7762 to check the risk estimate we provide. The etf shows a Beta (market volatility) of -0.12, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fondul Deschis are expected to decrease at a much lower rate. During the bear market, Fondul Deschis is likely to outperform the market.
Auto-correlation | 0.41 |
Average predictability
Fondul Deschis De has average predictability. Overlapping area represents the amount of predictability between Fondul Deschis time series from 26th of November 2024 to 11th of December 2024 and 11th of December 2024 to 26th 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 Fondul Deschis De price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Fondul Deschis price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.27 |
Fondul Deschis De lagged returns against current returns
Autocorrelation, which is Fondul Deschis 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 Fondul Deschis' etf expected returns. We can calculate the autocorrelation of Fondul Deschis returns to help us make a trade decision. For example, suppose you find that Fondul Deschis 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 |
Fondul Deschis 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 Fondul Deschis etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fondul Deschis etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fondul Deschis etf over time.
Current vs Lagged Prices |
| Timeline |
Fondul Deschis Lagged Returns
When evaluating Fondul Deschis' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fondul Deschis etf have on its future price. Fondul Deschis 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, Fondul Deschis autocorrelation shows the relationship between Fondul Deschis etf current value and its past values and can show if there is a momentum factor associated with investing in Fondul Deschis De.
Regressed Prices |
| Timeline |
Pair Trading with Fondul Deschis
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 Fondul Deschis 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 Fondul Deschis will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Fondul Deschis could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Fondul Deschis 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 Fondul Deschis - 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 Fondul Deschis De to buy it.
The correlation of Fondul Deschis 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 Fondul Deschis moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Fondul Deschis De 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 Fondul Deschis 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.