Beta Shares (Australia) Market Value
| QFN Etf | 17.16 0.20 1.18% |
| Symbol | Beta |
Beta Shares '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 Shares' 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 Shares.
| 12/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in Beta Shares on December 29, 2023 and sell it all today you would earn a total of 0.00 from holding Beta Shares SPASX or generate 0.0% return on investment in Beta Shares over 330 days. Beta Shares is related to or competes with Vanguard Total, SPDR SP, IShares Core, IShares Core, VanEck Vectors, VanEck Morningstar, and IShares CoreSP. Beta Shares is entity of Australia. It is traded as Etf on AU exchange. More
Beta Shares 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 Shares' 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 Shares SPASX upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | 0.0643 | |||
| Maximum Drawdown | 3.52 | |||
| Value At Risk | (1.85) | |||
| Potential Upside | 1.55 |
Beta Shares Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Beta Shares' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Beta Shares' standard deviation. In reality, there are many statistical measures that can use Beta Shares historical prices to predict the future Beta Shares' volatility.| Risk Adjusted Performance | 0.1506 | |||
| Jensen Alpha | 0.1956 | |||
| Total Risk Alpha | 0.0263 | |||
| Sortino Ratio | 0.0534 | |||
| Treynor Ratio | (2.34) |
Beta Shares SPASX Backtested Returns
Currently, Beta Shares SPASX is very steady. Beta Shares SPASX secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the etf had a 0.18% return per unit of risk over the last 3 months. We have found thirty technical indicators for Beta Shares SPASX, which you can use to evaluate the volatility of the entity. Please confirm Beta Shares' Downside Deviation of 1.22, mean deviation of 0.7995, and Risk Adjusted Performance of 0.1506 to double-check if the risk estimate we provide is consistent with the expected return of 0.18%. The etf shows a Beta (market volatility) of -0.0796, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Beta Shares are expected to decrease at a much lower rate. During the bear market, Beta Shares is likely to outperform the market.
Auto-correlation | 0.82 |
Very good predictability
Beta Shares SPASX has very good predictability. Overlapping area represents the amount of predictability between Beta Shares time series from 29th of December 2023 to 11th of June 2024 and 11th of June 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 Shares SPASX price movement. The serial correlation of 0.82 indicates that around 82.0% of current Beta Shares price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.51 |
Beta Shares SPASX lagged returns against current returns
Autocorrelation, which is Beta Shares 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 Shares' etf expected returns. We can calculate the autocorrelation of Beta Shares returns to help us make a trade decision. For example, suppose you find that Beta Shares 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 Shares 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 Shares etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Beta Shares etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Beta Shares etf over time.
Current vs Lagged Prices |
| Timeline |
Beta Shares Lagged Returns
When evaluating Beta Shares' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Beta Shares etf have on its future price. Beta Shares 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 Shares autocorrelation shows the relationship between Beta Shares etf current value and its past values and can show if there is a momentum factor associated with investing in Beta Shares SPASX.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in Beta Etf
Beta Shares financial ratios help investors to determine whether Beta 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 Beta with respect to the benefits of owning Beta Shares security.