Sygnia Itrix (South Africa) Market Value
| SYGEU Etf | 10,230 76.00 0.75% |
| Symbol | Sygnia |
Sygnia Itrix '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 Sygnia Itrix'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 Sygnia Itrix.
| 01/02/2025 |
| 02/01/2025 |
If you would invest 0.00 in Sygnia Itrix on January 2, 2025 and sell it all today you would earn a total of 0.00 from holding Sygnia Itrix Euro or generate 0.0% return on investment in Sygnia Itrix over 30 days.
Sygnia Itrix 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 Sygnia Itrix'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 Sygnia Itrix Euro upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9618 | |||
| Information Ratio | 0.0456 | |||
| Maximum Drawdown | 5.14 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.87 |
Sygnia Itrix Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sygnia Itrix's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sygnia Itrix's standard deviation. In reality, there are many statistical measures that can use Sygnia Itrix historical prices to predict the future Sygnia Itrix's volatility.| Risk Adjusted Performance | 0.1044 | |||
| Jensen Alpha | 0.1077 | |||
| Total Risk Alpha | 0.0315 | |||
| Sortino Ratio | 0.0487 | |||
| Treynor Ratio | 1.01 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sygnia Itrix'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.
Sygnia Itrix Euro Backtested Returns
Sygnia Itrix is very steady at the moment. Sygnia Itrix Euro owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the etf had a 0.16 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sygnia Itrix Euro, which you can use to evaluate the volatility of the etf. Please validate Sygnia Itrix's Risk Adjusted Performance of 0.1044, semi deviation of 0.8403, and Coefficient Of Variation of 817.43 to confirm if the risk estimate we provide is consistent with the expected return of 0.17%. The entity has a beta of 0.11, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sygnia Itrix's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sygnia Itrix is expected to be smaller as well.
Auto-correlation | 0.83 |
Very good predictability
Sygnia Itrix Euro has very good predictability. Overlapping area represents the amount of predictability between Sygnia Itrix time series from 2nd of January 2025 to 17th of January 2025 and 17th of January 2025 to 1st of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Sygnia Itrix Euro price movement. The serial correlation of 0.83 indicates that around 83.0% of current Sygnia Itrix price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 14.3 K |
Sygnia Itrix Euro lagged returns against current returns
Autocorrelation, which is Sygnia Itrix 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 Sygnia Itrix's etf expected returns. We can calculate the autocorrelation of Sygnia Itrix returns to help us make a trade decision. For example, suppose you find that Sygnia Itrix 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 |
Sygnia Itrix 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 Sygnia Itrix etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sygnia Itrix etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sygnia Itrix etf over time.
Current vs Lagged Prices |
| Timeline |
Sygnia Itrix Lagged Returns
When evaluating Sygnia Itrix's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sygnia Itrix etf have on its future price. Sygnia Itrix 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, Sygnia Itrix autocorrelation shows the relationship between Sygnia Itrix etf current value and its past values and can show if there is a momentum factor associated with investing in Sygnia Itrix Euro.
Regressed Prices |
| Timeline |