BCAP MSCI (Thailand) Market Value
| BMSCITH Etf | THB 10.28 0.04 0.39% |
| Symbol | BCAP |
BCAP 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 BCAP 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 BCAP MSCI.
| 03/05/2024 |
| 11/30/2024 |
If you would invest 0.00 in BCAP MSCI on March 5, 2024 and sell it all today you would earn a total of 0.00 from holding BCAP MSCI Thailand or generate 0.0% return on investment in BCAP MSCI over 270 days. BCAP MSCI is related to or competes with BCAP SET100, WISE KTAM, and MTrack Energy. The Fund employs a passive management strategy with the investment policy to emphasize investing in securities that are ... More
BCAP 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 BCAP 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 BCAP MSCI Thailand upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7054 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 5.73 | |||
| Value At Risk | (0.94) | |||
| Potential Upside | 1.73 |
BCAP MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BCAP MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BCAP MSCI's standard deviation. In reality, there are many statistical measures that can use BCAP MSCI historical prices to predict the future BCAP MSCI's volatility.| Risk Adjusted Performance | 0.0949 | |||
| Jensen Alpha | 0.0925 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 7.41 |
BCAP MSCI Thailand Backtested Returns
BCAP MSCI is very steady at the moment. BCAP MSCI Thailand retains Efficiency (Sharpe Ratio) of 0.0894, which signifies that the etf had a 0.0894% return per unit of risk over the last 3 months. We have found thirty technical indicators for BCAP MSCI, which you can use to evaluate the volatility of the entity. Please confirm BCAP MSCI's coefficient of variation of 814.11, and Market Risk Adjusted Performance of 7.42 to double-check if the risk estimate we provide is consistent with the expected return of 0.0732%. The entity owns a Beta (Systematic Risk) of 0.0127, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BCAP MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding BCAP MSCI is expected to be smaller as well.
Auto-correlation | -0.56 |
Good reverse predictability
BCAP MSCI Thailand has good reverse predictability. Overlapping area represents the amount of predictability between BCAP MSCI time series from 5th of March 2024 to 18th of July 2024 and 18th of July 2024 to 30th 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 BCAP MSCI Thailand price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current BCAP MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.56 | |
| Spearman Rank Test | -0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
BCAP MSCI Thailand lagged returns against current returns
Autocorrelation, which is BCAP 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 BCAP MSCI's etf expected returns. We can calculate the autocorrelation of BCAP MSCI returns to help us make a trade decision. For example, suppose you find that BCAP 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 |
BCAP 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 BCAP MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BCAP MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BCAP MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
BCAP MSCI Lagged Returns
When evaluating BCAP MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BCAP MSCI etf have on its future price. BCAP 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, BCAP MSCI autocorrelation shows the relationship between BCAP MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in BCAP MSCI Thailand.
Regressed Prices |
| Timeline |
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BCAP MSCI financial ratios help investors to determine whether BCAP Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in BCAP with respect to the benefits of owning BCAP MSCI security.