Fubon MSCI (Taiwan) Market Value
| 0057 Etf | TWD 123.60 0.55 0.45% |
| Symbol | Fubon |
Fubon 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 Fubon 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 Fubon MSCI.
| 05/22/2023 |
| 05/16/2024 |
If you would invest 0.00 in Fubon MSCI on May 22, 2023 and sell it all today you would earn a total of 0.00 from holding Fubon MSCI Taiwan or generate 0.0% return on investment in Fubon MSCI over 360 days. Fubon MSCI is related to or competes with Paradigm. The investment seeks to track the price and performance yield, before fees and expenses, of the MSCI Taiwan index More
Fubon 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 Fubon 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 Fubon MSCI Taiwan upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.42 | |||
| Information Ratio | 0.1352 | |||
| Maximum Drawdown | 8.59 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 2.25 |
Fubon MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fubon MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fubon MSCI's standard deviation. In reality, there are many statistical measures that can use Fubon MSCI historical prices to predict the future Fubon MSCI's volatility.| Risk Adjusted Performance | 0.1342 | |||
| Jensen Alpha | 0.2836 | |||
| Total Risk Alpha | 0.0887 | |||
| Sortino Ratio | 0.1216 | |||
| Treynor Ratio | (0.68) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fubon 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.
Fubon MSCI Taiwan Backtested Returns
Fubon MSCI appears to be very steady, given 3 months investment horizon. Fubon MSCI Taiwan secures Sharpe Ratio (or Efficiency) of 0.21, which denotes the etf had a 0.21% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Fubon MSCI Taiwan, which you can use to evaluate the volatility of the entity. Please utilize Fubon MSCI's Downside Deviation of 1.42, semi deviation of 1.02, and Mean Deviation of 0.8875 to check if our risk estimates are consistent with your expectations. The etf shows a Beta (market volatility) of -0.37, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Fubon MSCI are expected to decrease at a much lower rate. During the bear market, Fubon MSCI is likely to outperform the market.
Auto-correlation | -0.49 |
Modest reverse predictability
Fubon MSCI Taiwan has modest reverse predictability. Overlapping area represents the amount of predictability between Fubon MSCI time series from 22nd of May 2023 to 18th of November 2023 and 18th of November 2023 to 16th of May 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 Fubon MSCI Taiwan price movement. The serial correlation of -0.49 indicates that about 49.0% of current Fubon MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.49 | |
| Spearman Rank Test | -0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 80.97 |
Fubon MSCI Taiwan lagged returns against current returns
Autocorrelation, which is Fubon 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 Fubon MSCI's etf expected returns. We can calculate the autocorrelation of Fubon MSCI returns to help us make a trade decision. For example, suppose you find that Fubon 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 |
Fubon 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 Fubon MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fubon MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fubon MSCI etf over time.
Current vs Lagged Prices |
| Timeline |
Fubon MSCI Lagged Returns
When evaluating Fubon MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fubon MSCI etf have on its future price. Fubon 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, Fubon MSCI autocorrelation shows the relationship between Fubon MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in Fubon MSCI Taiwan.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Fubon MSCI in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Fubon MSCI's short interest history, or implied volatility extrapolated from Fubon MSCI options trading.
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Check out Fubon MSCI Correlation, Fubon MSCI Volatility and Fubon MSCI Alpha and Beta module to complement your research on Fubon MSCI. You can also try the Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Fubon MSCI technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.