ETFS Morningstar (Australia) Market Value
| TECH Etf | 98.29 2.19 2.28% |
| Symbol | ETFS |
ETFS Morningstar '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 ETFS Morningstar'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 ETFS Morningstar.
| 09/08/2024 |
| 10/08/2024 |
If you would invest 0.00 in ETFS Morningstar on September 8, 2024 and sell it all today you would earn a total of 0.00 from holding ETFS Morningstar Global or generate 0.0% return on investment in ETFS Morningstar over 30 days. ETFS Morningstar is related to or competes with BetaShares Geared, VanEck Vectors, SPDR SPASX, Beta Shares, SPDR SP, IShares Core, and VanEck FTSE. ETFS Morningstar is entity of Australia. It is traded as Etf on AU exchange. More
ETFS Morningstar 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 ETFS Morningstar'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 ETFS Morningstar Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.45 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 6.43 | |||
| Value At Risk | (2.23) | |||
| Potential Upside | 1.69 |
ETFS Morningstar Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ETFS Morningstar's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ETFS Morningstar's standard deviation. In reality, there are many statistical measures that can use ETFS Morningstar historical prices to predict the future ETFS Morningstar's volatility.| Risk Adjusted Performance | 0.0341 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0529 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ETFS Morningstar'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.
ETFS Morningstar Global Backtested Returns
Currently, ETFS Morningstar Global is very steady. ETFS Morningstar Global secures Sharpe Ratio (or Efficiency) of 0.0488, which denotes the etf had a 0.0488% return per unit of return volatility over the last 3 months. We have found twenty-nine technical indicators for ETFS Morningstar Global, which you can use to evaluate the volatility of the entity. Please confirm ETFS Morningstar's downside deviation of 1.45, and Mean Deviation of 0.8865 to check if the risk estimate we provide is consistent with the expected return of 0.0596%. The etf shows a Beta (market volatility) of 0.67, which means possible diversification benefits within a given portfolio. As returns on the market increase, ETFS Morningstar's returns are expected to increase less than the market. However, during the bear market, the loss of holding ETFS Morningstar is expected to be smaller as well.
Auto-correlation | -0.3 |
Weak reverse predictability
ETFS Morningstar Global has weak reverse predictability. Overlapping area represents the amount of predictability between ETFS Morningstar time series from 8th of September 2024 to 23rd of September 2024 and 23rd of September 2024 to 8th of October 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 ETFS Morningstar Global price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current ETFS Morningstar price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.3 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.89 |
ETFS Morningstar Global lagged returns against current returns
Autocorrelation, which is ETFS Morningstar 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 ETFS Morningstar's etf expected returns. We can calculate the autocorrelation of ETFS Morningstar returns to help us make a trade decision. For example, suppose you find that ETFS Morningstar 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 |
ETFS Morningstar 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 ETFS Morningstar etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ETFS Morningstar etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ETFS Morningstar etf over time.
Current vs Lagged Prices |
| Timeline |
ETFS Morningstar Lagged Returns
When evaluating ETFS Morningstar's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ETFS Morningstar etf have on its future price. ETFS Morningstar 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, ETFS Morningstar autocorrelation shows the relationship between ETFS Morningstar etf current value and its past values and can show if there is a momentum factor associated with investing in ETFS Morningstar Global.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in ETFS Etf
ETFS Morningstar financial ratios help investors to determine whether ETFS 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 ETFS with respect to the benefits of owning ETFS Morningstar security.