Fundo De (Brazil) Market Value
| WTSP11B Etf | 36.00 0.00 0.00% |
| Symbol | Fundo |
Fundo De '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 Fundo De'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 Fundo De.
| 04/02/2024 |
| 05/02/2024 |
If you would invest 0.00 in Fundo De on April 2, 2024 and sell it all today you would earn a total of 0.00 from holding Fundo De Investimento or generate 0.0% return on investment in Fundo De over 30 days.
Fundo De 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 Fundo De'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 Fundo De Investimento upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 1.26 | |||
| Potential Upside | 0.4184 |
Fundo De Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fundo De's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fundo De's standard deviation. In reality, there are many statistical measures that can use Fundo De historical prices to predict the future Fundo De's volatility.| Risk Adjusted Performance | 0.0789 | |||
| Jensen Alpha | 0.016 | |||
| Total Risk Alpha | 0.0054 | |||
| Treynor Ratio | (1.69) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fundo De'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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as Fundo De. Your research has to be compared to or analyzed against Fundo De's peers to derive any actionable benefits. When done correctly, Fundo De's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in Fundo De Investimento.
Fundo De Investimento Backtested Returns
We consider Fundo De very steady. Fundo De Investimento secures Sharpe Ratio (or Efficiency) of 0.18, which denotes the etf had a 0.18% return per unit of risk over the last 3 months. We have found eighteen technical indicators for Fundo De Investimento, which you can use to evaluate the volatility of the entity. Please confirm Fundo De's Mean Deviation of 0.0607, standard deviation of 0.1455, and Variance of 0.0212 to check if the risk estimate we provide is consistent with the expected return of 0.0277%. The etf shows a Beta (market volatility) of -0.0092, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Fundo De are expected to decrease at a much lower rate. During the bear market, Fundo De is likely to outperform the market.
Auto-correlation | 0.00 |
No correlation between past and present
Fundo De Investimento has no correlation between past and present. Overlapping area represents the amount of predictability between Fundo De time series from 2nd of April 2024 to 17th of April 2024 and 17th of April 2024 to 2nd 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 Fundo De Investimento price movement. The serial correlation of 0.0 indicates that just 0.0% of current Fundo De price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 0.86 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Fundo De Investimento lagged returns against current returns
Autocorrelation, which is Fundo De 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 Fundo De's etf expected returns. We can calculate the autocorrelation of Fundo De returns to help us make a trade decision. For example, suppose you find that Fundo De 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 |
Fundo De 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 Fundo De etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fundo De etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fundo De etf over time.
Current vs Lagged Prices |
| Timeline |
Fundo De Lagged Returns
When evaluating Fundo De's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fundo De etf have on its future price. Fundo De 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, Fundo De autocorrelation shows the relationship between Fundo De etf current value and its past values and can show if there is a momentum factor associated with investing in Fundo De Investimento.
Regressed Prices |
| Timeline |
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Fundo De 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.