NewGold Palladium (South Africa) Market Value
| NGPLD Etf | 17,481 24.00 0.14% |
| Symbol | NewGold |
NewGold Palladium '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 NewGold Palladium'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 NewGold Palladium.
| 11/18/2024 |
| 02/16/2025 |
If you would invest 0.00 in NewGold Palladium on November 18, 2024 and sell it all today you would earn a total of 0.00 from holding NewGold Palladium ETF or generate 0.0% return on investment in NewGold Palladium over 90 days.
NewGold Palladium 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 NewGold Palladium'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 NewGold Palladium ETF upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | 0.033 | |||
| Maximum Drawdown | 6.57 | |||
| Value At Risk | (1.99) | |||
| Potential Upside | 2.89 |
NewGold Palladium Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NewGold Palladium's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NewGold Palladium's standard deviation. In reality, there are many statistical measures that can use NewGold Palladium historical prices to predict the future NewGold Palladium's volatility.| Risk Adjusted Performance | 0.0338 | |||
| Jensen Alpha | 0.0536 | |||
| Total Risk Alpha | 0.0513 | |||
| Sortino Ratio | 0.04 | |||
| Treynor Ratio | 0.3459 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NewGold Palladium'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.
NewGold Palladium ETF Backtested Returns
NewGold Palladium is very steady at the moment. NewGold Palladium ETF has Sharpe Ratio of 0.0218, which conveys that the entity had a 0.0218 % return per unit of risk over the last 3 months. We have found thirty technical indicators for NewGold Palladium, which you can use to evaluate the volatility of the etf. Please verify NewGold Palladium's Downside Deviation of 1.32, mean deviation of 1.24, and Risk Adjusted Performance of 0.0338 to check out if the risk estimate we provide is consistent with the expected return of 0.0335%. The etf secures a Beta (Market Risk) of 0.16, which conveys not very significant fluctuations relative to the market. As returns on the market increase, NewGold Palladium's returns are expected to increase less than the market. However, during the bear market, the loss of holding NewGold Palladium is expected to be smaller as well.
Auto-correlation | -0.78 |
Almost perfect reverse predictability
NewGold Palladium ETF has almost perfect reverse predictability. Overlapping area represents the amount of predictability between NewGold Palladium time series from 18th of November 2024 to 2nd of January 2025 and 2nd of January 2025 to 16th of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of NewGold Palladium ETF price movement. The serial correlation of -0.78 indicates that around 78.0% of current NewGold Palladium price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.78 | |
| Spearman Rank Test | -0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 201.4 K |
NewGold Palladium ETF lagged returns against current returns
Autocorrelation, which is NewGold Palladium 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 NewGold Palladium's etf expected returns. We can calculate the autocorrelation of NewGold Palladium returns to help us make a trade decision. For example, suppose you find that NewGold Palladium 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 |
NewGold Palladium 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 NewGold Palladium etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NewGold Palladium etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NewGold Palladium etf over time.
Current vs Lagged Prices |
| Timeline |
NewGold Palladium Lagged Returns
When evaluating NewGold Palladium's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NewGold Palladium etf have on its future price. NewGold Palladium 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, NewGold Palladium autocorrelation shows the relationship between NewGold Palladium etf current value and its past values and can show if there is a momentum factor associated with investing in NewGold Palladium ETF.
Regressed Prices |
| Timeline |