NewFunds Low (South Africa) Market Value
| STXLVL Etf | 1,269 7.00 0.55% |
| Symbol | NewFunds |
NewFunds Low '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 NewFunds Low'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 NewFunds Low.
| 08/19/2023 |
| 12/11/2024 |
If you would invest 0.00 in NewFunds Low on August 19, 2023 and sell it all today you would earn a total of 0.00 from holding NewFunds Low Volatility or generate 0.0% return on investment in NewFunds Low over 480 days.
NewFunds Low 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 NewFunds Low'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 NewFunds Low Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5637 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.86 | |||
| Value At Risk | (0.83) | |||
| Potential Upside | 1.17 |
NewFunds Low Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for NewFunds Low's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as NewFunds Low's standard deviation. In reality, there are many statistical measures that can use NewFunds Low historical prices to predict the future NewFunds Low's volatility.| Risk Adjusted Performance | 0.1076 | |||
| Jensen Alpha | 0.0896 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (1.63) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of NewFunds Low'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.
NewFunds Low Volatility Backtested Returns
At this point, NewFunds Low is very steady. NewFunds Low Volatility has Sharpe Ratio of 0.12, which conveys that the entity had a 0.12% return per unit of risk over the last 3 months. We have found thirty technical indicators for NewFunds Low, which you can use to evaluate the volatility of the etf. Please verify NewFunds Low's Mean Deviation of 0.4922, downside deviation of 0.5637, and Risk Adjusted Performance of 0.1076 to check out if the risk estimate we provide is consistent with the expected return of 0.0761%. The etf secures a Beta (Market Risk) of -0.0512, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning NewFunds Low are expected to decrease at a much lower rate. During the bear market, NewFunds Low is likely to outperform the market.
Auto-correlation | 0.68 |
Good predictability
NewFunds Low Volatility has good predictability. Overlapping area represents the amount of predictability between NewFunds Low time series from 19th of August 2023 to 15th of April 2024 and 15th of April 2024 to 11th 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 NewFunds Low Volatility price movement. The serial correlation of 0.68 indicates that around 68.0% of current NewFunds Low price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.68 | |
| Spearman Rank Test | 0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 3471.58 |
NewFunds Low Volatility lagged returns against current returns
Autocorrelation, which is NewFunds Low 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 NewFunds Low's etf expected returns. We can calculate the autocorrelation of NewFunds Low returns to help us make a trade decision. For example, suppose you find that NewFunds Low 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 |
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NewFunds Low 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 NewFunds Low etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if NewFunds Low etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in NewFunds Low etf over time.
Current vs Lagged Prices |
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NewFunds Low Lagged Returns
When evaluating NewFunds Low's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of NewFunds Low etf have on its future price. NewFunds Low 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, NewFunds Low autocorrelation shows the relationship between NewFunds Low etf current value and its past values and can show if there is a momentum factor associated with investing in NewFunds Low Volatility.
Regressed Prices |
| Timeline |