Yuanta STOXX (Taiwan) Market Value
| 00762 Etf | TWD 70.30 0.50 0.72% |
| Symbol | Yuanta |
Yuanta STOXX '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 Yuanta STOXX'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 Yuanta STOXX.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Yuanta STOXX on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Yuanta STOXX Global or generate 0.0% return on investment in Yuanta STOXX over 360 days. Yuanta STOXX is related to or competes with Yuanta Daily, Fubon FTSE, and Paradigm. YUANTA SECURITIES is traded on Taiwan Stock Exchange in Taiwan. More
Yuanta STOXX 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 Yuanta STOXX'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 Yuanta STOXX Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.43 | |||
| Information Ratio | 0.099 | |||
| Maximum Drawdown | 7.04 | |||
| Value At Risk | (1.42) | |||
| Potential Upside | 2.36 |
Yuanta STOXX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Yuanta STOXX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Yuanta STOXX's standard deviation. In reality, there are many statistical measures that can use Yuanta STOXX historical prices to predict the future Yuanta STOXX's volatility.| Risk Adjusted Performance | 0.1598 | |||
| Jensen Alpha | 0.1886 | |||
| Total Risk Alpha | 0.0382 | |||
| Sortino Ratio | 0.0913 | |||
| Treynor Ratio | 0.4745 |
Yuanta STOXX Global Backtested Returns
Yuanta STOXX appears to be very steady, given 3 months investment horizon. Yuanta STOXX Global shows Sharpe Ratio of 0.22, which attests that the etf had a 0.22% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Yuanta STOXX Global, which you can use to evaluate the volatility of the etf. Please utilize Yuanta STOXX's Mean Deviation of 0.9318, market risk adjusted performance of 0.4845, and Downside Deviation of 1.43 to validate if our risk estimates are consistent with your expectations. The entity maintains a market beta of 0.54, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Yuanta STOXX's returns are expected to increase less than the market. However, during the bear market, the loss of holding Yuanta STOXX is expected to be smaller as well.
Auto-correlation | -0.19 |
Insignificant reverse predictability
Yuanta STOXX Global has insignificant reverse predictability. Overlapping area represents the amount of predictability between Yuanta STOXX time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st of December 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 Yuanta STOXX Global price movement. The serial correlation of -0.19 indicates that over 19.0% of current Yuanta STOXX price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 10.95 |
Yuanta STOXX Global lagged returns against current returns
Autocorrelation, which is Yuanta STOXX 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 Yuanta STOXX's etf expected returns. We can calculate the autocorrelation of Yuanta STOXX returns to help us make a trade decision. For example, suppose you find that Yuanta STOXX 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 |
Yuanta STOXX 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 Yuanta STOXX etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Yuanta STOXX etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Yuanta STOXX etf over time.
Current vs Lagged Prices |
| Timeline |
Yuanta STOXX Lagged Returns
When evaluating Yuanta STOXX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Yuanta STOXX etf have on its future price. Yuanta STOXX 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, Yuanta STOXX autocorrelation shows the relationship between Yuanta STOXX etf current value and its past values and can show if there is a momentum factor associated with investing in Yuanta STOXX Global.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Yuanta Etf
Yuanta STOXX financial ratios help investors to determine whether Yuanta 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 Yuanta with respect to the benefits of owning Yuanta STOXX security.