Macq Kor (Korea) Market Value
| 088980 Etf | 11,280 100.00 0.88% |
| Symbol | Macq |
Macq Kor '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 Macq Kor'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 Macq Kor.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Macq Kor on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Macq Kor Infr or generate 0.0% return on investment in Macq Kor over 30 days.
Macq Kor 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 Macq Kor'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 Macq Kor Infr upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.32) | |||
| Maximum Drawdown | 4.3 | |||
| Value At Risk | (1.03) | |||
| Potential Upside | 1.02 |
Macq Kor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Macq Kor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Macq Kor's standard deviation. In reality, there are many statistical measures that can use Macq Kor historical prices to predict the future Macq Kor's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | 18.42 |
Macq Kor Infr Backtested Returns
Macq Kor Infr has Sharpe Ratio of -0.14, which conveys that the entity had a -0.14% return per unit of risk over the last 3 months. Macq Kor exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Macq Kor's Risk Adjusted Performance of (0.1), mean deviation of 0.4768, and Standard Deviation of 0.6486 to check out the risk estimate we provide. The etf secures a Beta (Market Risk) of -0.0049, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Macq Kor are expected to decrease at a much lower rate. During the bear market, Macq Kor is likely to outperform the market.
Auto-correlation | -0.04 |
Very weak reverse predictability
Macq Kor Infr has very weak reverse predictability. Overlapping area represents the amount of predictability between Macq Kor time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th of November 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 Macq Kor Infr price movement. The serial correlation of -0.04 indicates that only as little as 4.0% of current Macq Kor price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.04 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 5241.32 |
Macq Kor Infr lagged returns against current returns
Autocorrelation, which is Macq Kor 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 Macq Kor's etf expected returns. We can calculate the autocorrelation of Macq Kor returns to help us make a trade decision. For example, suppose you find that Macq Kor 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 |
Macq Kor 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 Macq Kor etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Macq Kor etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Macq Kor etf over time.
Current vs Lagged Prices |
| Timeline |
Macq Kor Lagged Returns
When evaluating Macq Kor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Macq Kor etf have on its future price. Macq Kor 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, Macq Kor autocorrelation shows the relationship between Macq Kor etf current value and its past values and can show if there is a momentum factor associated with investing in Macq Kor Infr.
Regressed Prices |
| Timeline |
Pair Trading with Macq Kor
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 Macq Kor 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 Macq Kor will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Macq Kor could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Macq Kor 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 Macq Kor - 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 Macq Kor Infr to buy it.
The correlation of Macq Kor 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 Macq Kor moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Macq Kor Infr 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 Macq Kor 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.