Satrix MSCI (South Africa) Market Value
| STXWDM Etf | 9,883 56.00 0.56% |
| Symbol | Satrix |
Satrix 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 Satrix 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 Satrix MSCI.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Satrix MSCI on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Satrix MSCI World or generate 0.0% return on investment in Satrix MSCI over 30 days.
Satrix 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 Satrix 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 Satrix MSCI World upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7418 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.29 | |||
| Value At Risk | (1.18) | |||
| Potential Upside | 1.48 |
Satrix MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Satrix MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Satrix MSCI's standard deviation. In reality, there are many statistical measures that can use Satrix MSCI historical prices to predict the future Satrix MSCI's volatility.| Risk Adjusted Performance | 0.0862 | |||
| Jensen Alpha | 0.0594 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.3481 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Satrix MSCI'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.
Satrix MSCI World Backtested Returns
At this point, Satrix MSCI is very steady. Satrix MSCI World owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.1, which indicates the etf had a 0.1% return per unit of risk over the last 3 months. We have found thirty technical indicators for Satrix MSCI World, which you can use to evaluate the volatility of the etf. Please validate Satrix MSCI's Risk Adjusted Performance of 0.0862, semi deviation of 0.6214, and Coefficient Of Variation of 903.33 to confirm if the risk estimate we provide is consistent with the expected return of 0.0919%. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Satrix MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Satrix MSCI is expected to be smaller as well.
Auto-correlation | 0.79 |
Good predictability
Satrix MSCI World has good predictability. Overlapping area represents the amount of predictability between Satrix MSCI time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 Satrix MSCI World price movement. The serial correlation of 0.79 indicates that around 79.0% of current Satrix MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 9160.64 |
Satrix MSCI World lagged returns against current returns
Autocorrelation, which is Satrix 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 Satrix MSCI's etf expected returns. We can calculate the autocorrelation of Satrix MSCI returns to help us make a trade decision. For example, suppose you find that Satrix 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 |
Satrix 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 Satrix MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Satrix MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Satrix MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
Satrix MSCI Lagged Returns
When evaluating Satrix MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Satrix MSCI etf have on its future price. Satrix 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, Satrix MSCI autocorrelation shows the relationship between Satrix MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in Satrix MSCI World.
Regressed Prices |
| Timeline |