NIFTYETF (India) Market Value
| NIFTYETF | 257.68 2.33 0.91% |
| Symbol | NIFTYETF |
NIFTYETF '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 NIFTYETF'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 NIFTYETF.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in NIFTYETF on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding NIFTYETF or generate 0.0% return on investment in NIFTYETF over 360 days.
NIFTYETF 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 NIFTYETF'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 NIFTYETF upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.24) | |||
| Maximum Drawdown | 3.9 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 1.11 |
NIFTYETF Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NIFTYETF's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NIFTYETF's standard deviation. In reality, there are many statistical measures that can use NIFTYETF historical prices to predict the future NIFTYETF's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | (0.14) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NIFTYETF'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.
NIFTYETF Backtested Returns
NIFTYETF 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. NIFTYETF exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify NIFTYETF's mean deviation of 0.5869, and Risk Adjusted Performance of (0.05) to check out the risk estimate we provide. The etf secures a Beta (Market Risk) of 0.43, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, NIFTYETF's returns are expected to increase less than the market. However, during the bear market, the loss of holding NIFTYETF is expected to be smaller as well.
Auto-correlation | 0.52 |
Modest predictability
NIFTYETF has modest predictability. Overlapping area represents the amount of predictability between NIFTYETF time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st 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 NIFTYETF price movement. The serial correlation of 0.52 indicates that about 52.0% of current NIFTYETF price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 67.65 |
NIFTYETF lagged returns against current returns
Autocorrelation, which is NIFTYETF 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 NIFTYETF's etf expected returns. We can calculate the autocorrelation of NIFTYETF returns to help us make a trade decision. For example, suppose you find that NIFTYETF 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 |
NIFTYETF 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 NIFTYETF etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NIFTYETF etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NIFTYETF etf over time.
Current vs Lagged Prices |
| Timeline |
NIFTYETF Lagged Returns
When evaluating NIFTYETF's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NIFTYETF etf have on its future price. NIFTYETF 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, NIFTYETF autocorrelation shows the relationship between NIFTYETF etf current value and its past values and can show if there is a momentum factor associated with investing in NIFTYETF.
Regressed Prices |
| Timeline |