Lyxor MSCI (France) Market Value
| WLDHC Etf | 13.44 0.11 0.83% |
| Symbol | Lyxor |
Lyxor MSCI '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 Lyxor MSCI'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 Lyxor MSCI.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Lyxor MSCI on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Lyxor MSCI World or generate 0.0% return on investment in Lyxor MSCI over 30 days.
Lyxor MSCI 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 Lyxor MSCI'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 Lyxor MSCI World upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6831 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.75 | |||
| Value At Risk | (0.88) | |||
| Potential Upside | 1.02 |
Lyxor MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lyxor MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lyxor MSCI's standard deviation. In reality, there are many statistical measures that can use Lyxor MSCI historical prices to predict the future Lyxor MSCI's volatility.| Risk Adjusted Performance | 0.0952 | |||
| Jensen Alpha | 0.0543 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.4043 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lyxor MSCI'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.
Lyxor MSCI World Backtested Returns
Currently, Lyxor MSCI World is very steady. Lyxor MSCI World has Sharpe Ratio of 0.18, which conveys that the entity had a 0.18% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Lyxor MSCI, which you can use to evaluate the volatility of the etf. Please verify Lyxor MSCI's Downside Deviation of 0.6831, risk adjusted performance of 0.0952, and Mean Deviation of 0.5104 to check out if the risk estimate we provide is consistent with the expected return of 0.12%. The etf secures a Beta (Market Risk) of 0.19, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Lyxor MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Lyxor MSCI is expected to be smaller as well.
Auto-correlation | 0.66 |
Good predictability
Lyxor MSCI World has good predictability. Overlapping area represents the amount of predictability between Lyxor MSCI time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 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 Lyxor MSCI World price movement. The serial correlation of 0.66 indicates that around 66.0% of current Lyxor MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Lyxor MSCI World lagged returns against current returns
Autocorrelation, which is Lyxor MSCI 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 Lyxor MSCI's etf expected returns. We can calculate the autocorrelation of Lyxor MSCI returns to help us make a trade decision. For example, suppose you find that Lyxor MSCI 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 |
Lyxor MSCI 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 Lyxor MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lyxor MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lyxor MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
Lyxor MSCI Lagged Returns
When evaluating Lyxor MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lyxor MSCI etf have on its future price. Lyxor MSCI 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, Lyxor MSCI autocorrelation shows the relationship between Lyxor MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in Lyxor MSCI World.
Regressed Prices |
| Timeline |