Coreshares Index (South Africa) Market Value
| APACXJ Etf | 1,102 10.00 0.92% |
| Symbol | Coreshares |
Coreshares Index '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 Coreshares Index'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 Coreshares Index.
| 08/23/2024 |
| 11/21/2024 |
If you would invest 0.00 in Coreshares Index on August 23, 2024 and sell it all today you would earn a total of 0.00 from holding Coreshares Index Tracker or generate 0.0% return on investment in Coreshares Index over 90 days.
Coreshares Index 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 Coreshares Index'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 Coreshares Index Tracker upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7955 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.21 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.62 |
Coreshares Index Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Coreshares Index's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Coreshares Index's standard deviation. In reality, there are many statistical measures that can use Coreshares Index historical prices to predict the future Coreshares Index's volatility.| Risk Adjusted Performance | 0.0397 | |||
| Jensen Alpha | 0.0236 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.2787 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Coreshares Index'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.
Coreshares Index Tracker Backtested Returns
At this point, Coreshares Index is very steady. Coreshares Index Tracker secures Sharpe Ratio (or Efficiency) of 0.0488, which signifies that the etf had a 0.0488% return per unit of risk over the last 3 months. We have found thirty technical indicators for Coreshares Index Tracker, which you can use to evaluate the volatility of the entity. Please confirm Coreshares Index's Mean Deviation of 0.6209, downside deviation of 0.7955, and Risk Adjusted Performance of 0.0397 to double-check if the risk estimate we provide is consistent with the expected return of 0.0432%. The etf shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Coreshares Index's returns are expected to increase less than the market. However, during the bear market, the loss of holding Coreshares Index is expected to be smaller as well.
Auto-correlation | -0.54 |
Good reverse predictability
Coreshares Index Tracker has good reverse predictability. Overlapping area represents the amount of predictability between Coreshares Index time series from 23rd of August 2024 to 7th of October 2024 and 7th of October 2024 to 21st 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 Coreshares Index Tracker price movement. The serial correlation of -0.54 indicates that about 54.0% of current Coreshares Index price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 155.2 |
Coreshares Index Tracker lagged returns against current returns
Autocorrelation, which is Coreshares Index 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 Coreshares Index's etf expected returns. We can calculate the autocorrelation of Coreshares Index returns to help us make a trade decision. For example, suppose you find that Coreshares Index 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 |
Coreshares Index 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 Coreshares Index etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Coreshares Index etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Coreshares Index etf over time.
Current vs Lagged Prices |
| Timeline |
Coreshares Index Lagged Returns
When evaluating Coreshares Index's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Coreshares Index etf have on its future price. Coreshares Index 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, Coreshares Index autocorrelation shows the relationship between Coreshares Index etf current value and its past values and can show if there is a momentum factor associated with investing in Coreshares Index Tracker.
Regressed Prices |
| Timeline |