SPDR MSCI (Australia) Market Value
| QMIX Etf | 31.83 0.33 1.05% |
| Symbol | SPDR |
SPDR MSCI '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 SPDR MSCI'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 SPDR MSCI.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in SPDR MSCI on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding SPDR MSCI World or generate 0.0% return on investment in SPDR MSCI over 30 days. SPDR MSCI is related to or competes with BetaShares Global, Beta Shares, SPDR SPASX, Vanguard Australian, Vanguard Total, IShares SP, and Vanguard MSCI. SPDR MSCI is entity of Australia. It is traded as Etf on AU exchange. More
SPDR MSCI 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 SPDR MSCI'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 SPDR MSCI World upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9927 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 4.82 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 1.75 |
SPDR MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SPDR MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SPDR MSCI's standard deviation. In reality, there are many statistical measures that can use SPDR MSCI historical prices to predict the future SPDR MSCI's volatility.| Risk Adjusted Performance | 0.0582 | |||
| Jensen Alpha | 0.0307 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.2518 |
SPDR MSCI World Backtested Returns
Currently, SPDR MSCI World is very steady. SPDR MSCI World owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0751, which indicates the etf had a 0.0751% return per unit of volatility over the last 3 months. We have found thirty technical indicators for SPDR MSCI World, which you can use to evaluate the volatility of the etf. Please validate SPDR MSCI's coefficient of variation of 1360.98, and Risk Adjusted Performance of 0.0582 to confirm if the risk estimate we provide is consistent with the expected return of 0.0705%. The entity has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SPDR MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding SPDR MSCI is expected to be smaller as well.
Auto-correlation | 0.30 |
Below average predictability
SPDR MSCI World has below average predictability. Overlapping area represents the amount of predictability between SPDR MSCI time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 SPDR MSCI World price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current SPDR MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.3 | |
| Spearman Rank Test | 0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
SPDR MSCI World lagged returns against current returns
Autocorrelation, which is SPDR MSCI 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 SPDR MSCI's etf expected returns. We can calculate the autocorrelation of SPDR MSCI returns to help us make a trade decision. For example, suppose you find that SPDR MSCI 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 |
SPDR MSCI 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 SPDR MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SPDR MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SPDR MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
SPDR MSCI Lagged Returns
When evaluating SPDR MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SPDR MSCI etf have on its future price. SPDR MSCI 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, SPDR MSCI autocorrelation shows the relationship between SPDR MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in SPDR MSCI World.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Check out SPDR MSCI Correlation, SPDR MSCI Volatility and SPDR MSCI Alpha and Beta module to complement your research on SPDR MSCI. You can also try the Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
SPDR MSCI technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.