Azvalor Global (Germany) Market Value
| 0P00018HSS | 200.08 0.00 0.00% |
| Symbol | Azvalor |
Azvalor Global '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 Azvalor Global's fund 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 Azvalor Global.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Azvalor Global on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Azvalor Global Value or generate 0.0% return on investment in Azvalor Global over 30 days.
Azvalor Global 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 Azvalor Global's fund 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 Azvalor Global Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.673 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 3.15 | |||
| Value At Risk | (1.08) | |||
| Potential Upside | 1.02 |
Azvalor Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Azvalor Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Azvalor Global's standard deviation. In reality, there are many statistical measures that can use Azvalor Global historical prices to predict the future Azvalor Global's volatility.| Risk Adjusted Performance | 0.0583 | |||
| Jensen Alpha | 0.0456 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.10) | |||
| Treynor Ratio | (2.99) |
Azvalor Global Value Backtested Returns
At this point, Azvalor Global is very steady. Azvalor Global Value secures Sharpe Ratio (or Efficiency) of 0.0981, which signifies that the fund had a 0.0981% return per unit of risk over the last 3 months. We have found twenty-five technical indicators for Azvalor Global Value, which you can use to evaluate the volatility of the entity. Please confirm Azvalor Global's Mean Deviation of 0.5149, risk adjusted performance of 0.0583, and Downside Deviation of 0.673 to double-check if the risk estimate we provide is consistent with the expected return of 0.0626%. The fund shows a Beta (market volatility) of -0.0147, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Azvalor Global are expected to decrease at a much lower rate. During the bear market, Azvalor Global is likely to outperform the market.
Auto-correlation | 0.73 |
Good predictability
Azvalor Global Value has good predictability. Overlapping area represents the amount of predictability between Azvalor Global time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Azvalor Global Value price movement. The serial correlation of 0.73 indicates that around 73.0% of current Azvalor Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.81 |
Azvalor Global Value lagged returns against current returns
Autocorrelation, which is Azvalor Global fund'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 Azvalor Global's fund expected returns. We can calculate the autocorrelation of Azvalor Global returns to help us make a trade decision. For example, suppose you find that Azvalor Global has exhibited high autocorrelation historically, and you observe that the fund 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 |
Azvalor Global 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 Azvalor Global fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Azvalor Global fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Azvalor Global fund over time.
Current vs Lagged Prices |
| Timeline |
Azvalor Global Lagged Returns
When evaluating Azvalor Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Azvalor Global fund have on its future price. Azvalor Global 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, Azvalor Global autocorrelation shows the relationship between Azvalor Global fund current value and its past values and can show if there is a momentum factor associated with investing in Azvalor Global Value.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
| Stocks Directory Find actively traded stocks across global markets | |
| Volatility Analysis Get historical volatility and risk analysis based on latest market data | |
| Economic Indicators Top statistical indicators that provide insights into how an economy is performing | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation |