Lyxor UCITS (France) Market Value
| JPNH Etf | EUR 214.65 4.35 2.07% |
| Symbol | Lyxor |
Lyxor UCITS '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 Lyxor UCITS'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 Lyxor UCITS.
| 03/30/2024 |
| 04/29/2024 |
If you would invest 0.00 in Lyxor UCITS on March 30, 2024 and sell it all today you would earn a total of 0.00 from holding Lyxor UCITS Japan or generate 0.0% return on investment in Lyxor UCITS over 30 days. Lyxor UCITS is related to or competes with Lyxor UCITS, Amundi Index, Amundi Index, Amundi Index, and Multi Units. The Lyxor Japan UCITS ETF is a UCITS compliant exchange traded fund that aims to track the benchmark index Topix Total R... More
Lyxor UCITS 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 Lyxor UCITS'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 Lyxor UCITS Japan upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9472 | |||
| Information Ratio | 0.0468 | |||
| Maximum Drawdown | 4.27 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.31 |
Lyxor UCITS Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lyxor UCITS's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lyxor UCITS's standard deviation. In reality, there are many statistical measures that can use Lyxor UCITS historical prices to predict the future Lyxor UCITS's volatility.| Risk Adjusted Performance | 0.0951 | |||
| Jensen Alpha | 0.1085 | |||
| Total Risk Alpha | 0.0084 | |||
| Sortino Ratio | 0.0437 | |||
| Treynor Ratio | 0.7937 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lyxor UCITS'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.
Lyxor UCITS Japan Backtested Returns
We consider Lyxor UCITS very steady. Lyxor UCITS Japan has Sharpe Ratio of 0.16, which conveys that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Lyxor UCITS, which you can use to evaluate the volatility of the etf. Please verify Lyxor UCITS's Risk Adjusted Performance of 0.0951, mean deviation of 0.6722, and Downside Deviation of 0.9472 to check out if the risk estimate we provide is consistent with the expected return of 0.14%. The etf secures a Beta (Market Risk) of 0.15, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Lyxor UCITS's returns are expected to increase less than the market. However, during the bear market, the loss of holding Lyxor UCITS is expected to be smaller as well.
Auto-correlation | -0.42 |
Modest reverse predictability
Lyxor UCITS Japan has modest reverse predictability. Overlapping area represents the amount of predictability between Lyxor UCITS time series from 30th of March 2024 to 14th of April 2024 and 14th of April 2024 to 29th of April 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 Lyxor UCITS Japan price movement. The serial correlation of -0.42 indicates that just about 42.0% of current Lyxor UCITS price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.42 | |
| Spearman Rank Test | -0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 5.03 |
Lyxor UCITS Japan lagged returns against current returns
Autocorrelation, which is Lyxor UCITS 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 Lyxor UCITS's etf expected returns. We can calculate the autocorrelation of Lyxor UCITS returns to help us make a trade decision. For example, suppose you find that Lyxor UCITS 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 |
Lyxor UCITS 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 Lyxor UCITS etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lyxor UCITS etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lyxor UCITS etf over time.
Current vs Lagged Prices |
| Timeline |
Lyxor UCITS Lagged Returns
When evaluating Lyxor UCITS's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lyxor UCITS etf have on its future price. Lyxor UCITS 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, Lyxor UCITS autocorrelation shows the relationship between Lyxor UCITS etf current value and its past values and can show if there is a momentum factor associated with investing in Lyxor UCITS Japan.
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 Lyxor UCITS 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, Lyxor UCITS's short interest history, or implied volatility extrapolated from Lyxor UCITS options trading.
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Lyxor UCITS 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.