ANZ SP (Australia) Market Value
| ZYUS Etf | 16.27 0.11 0.68% |
| Symbol | ANZ |
ANZ SP '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 ANZ SP'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 ANZ SP.
| 05/31/2024 |
| 11/27/2024 |
If you would invest 0.00 in ANZ SP on May 31, 2024 and sell it all today you would earn a total of 0.00 from holding ANZ SP 500 or generate 0.0% return on investment in ANZ SP over 180 days. ANZ SP is related to or competes with Betashares Asia, BetaShares Australia, Australian High, and Vanguard Australian. ANZ SP is entity of Australia. It is traded as Etf on AU exchange. More
ANZ SP 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 ANZ SP'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 ANZ SP 500 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6242 | |||
| Information Ratio | 0.0175 | |||
| Maximum Drawdown | 4.59 | |||
| Value At Risk | (0.87) | |||
| Potential Upside | 1.36 |
ANZ SP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ANZ SP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ANZ SP's standard deviation. In reality, there are many statistical measures that can use ANZ SP historical prices to predict the future ANZ SP's volatility.| Risk Adjusted Performance | 0.151 | |||
| Jensen Alpha | 0.1004 | |||
| Total Risk Alpha | 0.0194 | |||
| Sortino Ratio | 0.0202 | |||
| Treynor Ratio | 0.4902 |
ANZ SP 500 Backtested Returns
Currently, ANZ SP 500 is very steady. ANZ SP 500 secures Sharpe Ratio (or Efficiency) of 0.21, which signifies that the etf had a 0.21% return per unit of volatility over the last 3 months. We have found twenty-nine technical indicators for ANZ SP 500, which you can use to evaluate the volatility of the entity. Please confirm ANZ SP's risk adjusted performance of 0.151, and Mean Deviation of 0.5439 to double-check if the risk estimate we provide is consistent with the expected return of 0.15%. The etf shows a Beta (market volatility) of 0.27, which signifies not very significant fluctuations relative to the market. As returns on the market increase, ANZ SP's returns are expected to increase less than the market. However, during the bear market, the loss of holding ANZ SP is expected to be smaller as well.
Auto-correlation | 0.88 |
Very good predictability
ANZ SP 500 has very good predictability. Overlapping area represents the amount of predictability between ANZ SP time series from 31st of May 2024 to 29th of August 2024 and 29th of August 2024 to 27th 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 ANZ SP 500 price movement. The serial correlation of 0.88 indicates that approximately 88.0% of current ANZ SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.88 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
ANZ SP 500 lagged returns against current returns
Autocorrelation, which is ANZ SP 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 ANZ SP's etf expected returns. We can calculate the autocorrelation of ANZ SP returns to help us make a trade decision. For example, suppose you find that ANZ SP 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 |
ANZ SP 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 ANZ SP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ANZ SP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ANZ SP etf over time.
Current vs Lagged Prices |
| Timeline |
ANZ SP Lagged Returns
When evaluating ANZ SP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ANZ SP etf have on its future price. ANZ SP 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, ANZ SP autocorrelation shows the relationship between ANZ SP etf current value and its past values and can show if there is a momentum factor associated with investing in ANZ SP 500.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in ANZ Etf
ANZ SP financial ratios help investors to determine whether ANZ 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 ANZ with respect to the benefits of owning ANZ SP security.