Lyxor BofAML (Germany) Market Value
| LYXE Etf | EUR 76.05 0.19 0.25% |
| Symbol | Lyxor |
Lyxor BofAML '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 Lyxor BofAML'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 Lyxor BofAML.
| 10/26/2024 |
| 11/25/2024 |
If you would invest 0.00 in Lyxor BofAML on October 26, 2024 and sell it all today you would earn a total of 0.00 from holding Lyxor BofAML USD or generate 0.0% return on investment in Lyxor BofAML over 30 days. Lyxor BofAML is related to or competes with Lyxor Index. LYX ESGDLHYU is traded on Frankfurt Stock Exchange in Germany. More
Lyxor BofAML 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 Lyxor BofAML'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 Lyxor BofAML USD upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2788 | |||
| Information Ratio | (0.42) | |||
| Maximum Drawdown | 1.28 | |||
| Value At Risk | (0.46) | |||
| Potential Upside | 0.4528 |
Lyxor BofAML Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lyxor BofAML's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lyxor BofAML's standard deviation. In reality, there are many statistical measures that can use Lyxor BofAML historical prices to predict the future Lyxor BofAML's volatility.| Risk Adjusted Performance | 0.0303 | |||
| Jensen Alpha | 0.0043 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.41) | |||
| Treynor Ratio | 0.3022 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lyxor BofAML'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.
Lyxor BofAML USD Backtested Returns
At this point, Lyxor BofAML is very steady. Lyxor BofAML USD has Sharpe Ratio of 0.0843, which conveys that the entity had a 0.0843% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Lyxor BofAML, which you can use to evaluate the volatility of the etf. Please verify Lyxor BofAML's Risk Adjusted Performance of 0.0303, downside deviation of 0.2788, and Mean Deviation of 0.2117 to check out if the risk estimate we provide is consistent with the expected return of 0.021%. The etf secures a Beta (Market Risk) of 0.0238, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Lyxor BofAML's returns are expected to increase less than the market. However, during the bear market, the loss of holding Lyxor BofAML is expected to be smaller as well.
Auto-correlation | -0.17 |
Insignificant reverse predictability
Lyxor BofAML USD has insignificant reverse predictability. Overlapping area represents the amount of predictability between Lyxor BofAML time series from 26th of October 2024 to 10th of November 2024 and 10th of November 2024 to 25th 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 Lyxor BofAML USD price movement. The serial correlation of -0.17 indicates that over 17.0% of current Lyxor BofAML price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.17 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Lyxor BofAML USD lagged returns against current returns
Autocorrelation, which is Lyxor BofAML 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 Lyxor BofAML's etf expected returns. We can calculate the autocorrelation of Lyxor BofAML returns to help us make a trade decision. For example, suppose you find that Lyxor BofAML 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 |
Lyxor BofAML 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 Lyxor BofAML etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lyxor BofAML etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lyxor BofAML etf over time.
Current vs Lagged Prices |
| Timeline |
Lyxor BofAML Lagged Returns
When evaluating Lyxor BofAML's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lyxor BofAML etf have on its future price. Lyxor BofAML 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, Lyxor BofAML autocorrelation shows the relationship between Lyxor BofAML etf current value and its past values and can show if there is a momentum factor associated with investing in Lyxor BofAML USD.
Regressed Prices |
| Timeline |
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Other Information on Investing in Lyxor Etf
Lyxor BofAML financial ratios help investors to determine whether Lyxor 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 Lyxor with respect to the benefits of owning Lyxor BofAML security.