Beta ETF (Poland) Market Value
| ETFBW20ST | 302.70 1.30 0.43% |
| Symbol | Beta |
Beta ETF '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 Beta ETF'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 Beta ETF.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Beta ETF on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Beta ETF WIG20Short or generate 0.0% return on investment in Beta ETF over 30 days.
Beta ETF 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 Beta ETF'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 Beta ETF WIG20Short upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.36 | |||
| Information Ratio | 0.0056 | |||
| Maximum Drawdown | 5.82 | |||
| Value At Risk | (2.09) | |||
| Potential Upside | 2.33 |
Beta ETF Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Beta ETF's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Beta ETF's standard deviation. In reality, there are many statistical measures that can use Beta ETF historical prices to predict the future Beta ETF's volatility.| Risk Adjusted Performance | 0.081 | |||
| Jensen Alpha | 0.1717 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | 0.0057 | |||
| Treynor Ratio | (0.36) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Beta ETF'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.
Beta ETF WIG20Short Backtested Returns
At this point, Beta ETF is very steady. Beta ETF WIG20Short secures Sharpe Ratio (or Efficiency) of 0.0947, which signifies that the etf had a 0.0947% return per unit of risk over the last 3 months. We have found thirty technical indicators for Beta ETF WIG20Short, which you can use to evaluate the volatility of the entity. Please confirm Beta ETF's Risk Adjusted Performance of 0.081, downside deviation of 1.36, and Mean Deviation of 1.11 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. The etf shows a Beta (market volatility) of -0.36, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Beta ETF are expected to decrease at a much lower rate. During the bear market, Beta ETF is likely to outperform the market.
Auto-correlation | 0.08 |
Virtually no predictability
Beta ETF WIG20Short has virtually no predictability. Overlapping area represents the amount of predictability between Beta ETF time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 Beta ETF WIG20Short price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Beta ETF price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 41.63 |
Beta ETF WIG20Short lagged returns against current returns
Autocorrelation, which is Beta ETF 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 Beta ETF's etf expected returns. We can calculate the autocorrelation of Beta ETF returns to help us make a trade decision. For example, suppose you find that Beta ETF 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 |
Beta ETF 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 Beta ETF etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Beta ETF etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Beta ETF etf over time.
Current vs Lagged Prices |
| Timeline |
Beta ETF Lagged Returns
When evaluating Beta ETF's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Beta ETF etf have on its future price. Beta ETF 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, Beta ETF autocorrelation shows the relationship between Beta ETF etf current value and its past values and can show if there is a momentum factor associated with investing in Beta ETF WIG20Short.
Regressed Prices |
| Timeline |
Pair Trading with Beta ETF
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 Beta ETF 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 Beta ETF will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Beta ETF could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Beta ETF 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 Beta ETF - 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 Beta ETF WIG20Short to buy it.
The correlation of Beta ETF 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 Beta ETF moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Beta ETF WIG20Short 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 Beta ETF 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.