BetaShares Managed (Australia) Market Value
| WRLD Etf | 20.03 0.12 0.60% |
| Symbol | BetaShares |
BetaShares Managed '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 BetaShares Managed'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 BetaShares Managed.
| 08/02/2023 |
| 11/24/2024 |
If you would invest 0.00 in BetaShares Managed on August 2, 2023 and sell it all today you would earn a total of 0.00 from holding BetaShares Managed Risk or generate 0.0% return on investment in BetaShares Managed over 480 days. BetaShares Managed is related to or competes with BetaShares Australian, BetaShares Australian, BetaShares Geared, BetaShares Crude, and . BetaShares Managed is entity of Australia More
BetaShares Managed 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 BetaShares Managed'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 BetaShares Managed Risk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4949 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 3.28 | |||
| Value At Risk | (0.94) | |||
| Potential Upside | 1.07 |
BetaShares Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for BetaShares Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as BetaShares Managed's standard deviation. In reality, there are many statistical measures that can use BetaShares Managed historical prices to predict the future BetaShares Managed's volatility.| Risk Adjusted Performance | 0.117 | |||
| Jensen Alpha | 0.0676 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.4908 |
BetaShares Managed Risk Backtested Returns
Currently, BetaShares Managed Risk is very steady. BetaShares Managed Risk secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the etf had a 0.16% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for BetaShares Managed Risk, which you can use to evaluate the volatility of the entity. Please confirm BetaShares Managed's Mean Deviation of 0.4942, downside deviation of 0.4949, and Risk Adjusted Performance of 0.117 to double-check if the risk estimate we provide is consistent with the expected return of 0.1%. The etf shows a Beta (market volatility) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, BetaShares Managed's returns are expected to increase less than the market. However, during the bear market, the loss of holding BetaShares Managed is expected to be smaller as well.
Auto-correlation | 0.84 |
Very good predictability
BetaShares Managed Risk has very good predictability. Overlapping area represents the amount of predictability between BetaShares Managed time series from 2nd of August 2023 to 29th of March 2024 and 29th of March 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 BetaShares Managed Risk price movement. The serial correlation of 0.84 indicates that around 84.0% of current BetaShares Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.33 |
BetaShares Managed Risk lagged returns against current returns
Autocorrelation, which is BetaShares Managed 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 BetaShares Managed's etf expected returns. We can calculate the autocorrelation of BetaShares Managed returns to help us make a trade decision. For example, suppose you find that BetaShares Managed 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 |
BetaShares Managed 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 BetaShares Managed etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if BetaShares Managed etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in BetaShares Managed etf over time.
Current vs Lagged Prices |
| Timeline |
BetaShares Managed Lagged Returns
When evaluating BetaShares Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of BetaShares Managed etf have on its future price. BetaShares Managed 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, BetaShares Managed autocorrelation shows the relationship between BetaShares Managed etf current value and its past values and can show if there is a momentum factor associated with investing in BetaShares Managed Risk.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in BetaShares Etf
BetaShares Managed financial ratios help investors to determine whether BetaShares 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 BetaShares with respect to the benefits of owning BetaShares Managed security.