VINACAPITAL VN100 (Vietnam) Market Value
| FUEVN100 | 17,880 40.00 0.22% |
| Symbol | VINACAPITAL |
VINACAPITAL VN100 '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 VINACAPITAL VN100'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 VINACAPITAL VN100.
| 07/20/2023 |
| 12/11/2024 |
If you would invest 0.00 in VINACAPITAL VN100 on July 20, 2023 and sell it all today you would earn a total of 0.00 from holding VINACAPITAL VN100 ETF or generate 0.0% return on investment in VINACAPITAL VN100 over 510 days.
VINACAPITAL VN100 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 VINACAPITAL VN100'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 VINACAPITAL VN100 ETF upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7728 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 3.42 | |||
| Value At Risk | (0.96) | |||
| Potential Upside | 1.07 |
VINACAPITAL VN100 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for VINACAPITAL VN100's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as VINACAPITAL VN100's standard deviation. In reality, there are many statistical measures that can use VINACAPITAL VN100 historical prices to predict the future VINACAPITAL VN100's volatility.| Risk Adjusted Performance | 0.0334 | |||
| Jensen Alpha | 0.0277 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | (0.62) |
VINACAPITAL VN100 ETF Backtested Returns
At this point, VINACAPITAL VN100 is very steady. VINACAPITAL VN100 ETF owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0544, which indicates the etf had a 0.0544% return per unit of standard deviation over the last 3 months. We have found twenty-nine technical indicators for VINACAPITAL VN100 ETF, which you can use to evaluate the volatility of the etf. Please validate VINACAPITAL VN100's coefficient of variation of 2164.34, and Risk Adjusted Performance of 0.0334 to confirm if the risk estimate we provide is consistent with the expected return of 0.0398%. The entity has a beta of -0.0375, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning VINACAPITAL VN100 are expected to decrease at a much lower rate. During the bear market, VINACAPITAL VN100 is likely to outperform the market.
Auto-correlation | -0.13 |
Insignificant reverse predictability
VINACAPITAL VN100 ETF has insignificant reverse predictability. Overlapping area represents the amount of predictability between VINACAPITAL VN100 time series from 20th of July 2023 to 31st of March 2024 and 31st of March 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 VINACAPITAL VN100 ETF price movement. The serial correlation of -0.13 indicates that less than 13.0% of current VINACAPITAL VN100 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.13 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 202.5 K |
VINACAPITAL VN100 ETF lagged returns against current returns
Autocorrelation, which is VINACAPITAL VN100 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 VINACAPITAL VN100's etf expected returns. We can calculate the autocorrelation of VINACAPITAL VN100 returns to help us make a trade decision. For example, suppose you find that VINACAPITAL VN100 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 |
VINACAPITAL VN100 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 VINACAPITAL VN100 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if VINACAPITAL VN100 etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in VINACAPITAL VN100 etf over time.
Current vs Lagged Prices |
| Timeline |
VINACAPITAL VN100 Lagged Returns
When evaluating VINACAPITAL VN100's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of VINACAPITAL VN100 etf have on its future price. VINACAPITAL VN100 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, VINACAPITAL VN100 autocorrelation shows the relationship between VINACAPITAL VN100 etf current value and its past values and can show if there is a momentum factor associated with investing in VINACAPITAL VN100 ETF.
Regressed Prices |
| Timeline |
Pair Trading with VINACAPITAL VN100
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 VINACAPITAL VN100 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 VINACAPITAL VN100 will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to VINACAPITAL VN100 could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace VINACAPITAL VN100 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 VINACAPITAL VN100 - 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 VINACAPITAL VN100 ETF to buy it.
The correlation of VINACAPITAL VN100 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 VINACAPITAL VN100 moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if VINACAPITAL VN100 ETF 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 VINACAPITAL VN100 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.