Deka IBoxx (Germany) Market Value
| EFQ8 Etf | EUR 99.91 0.39 0.39% |
| Symbol | Deka |
Deka IBoxx '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 Deka IBoxx'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 Deka IBoxx.
| 11/15/2024 |
| 12/15/2024 |
If you would invest 0.00 in Deka IBoxx on November 15, 2024 and sell it all today you would earn a total of 0.00 from holding Deka iBoxx EUR or generate 0.0% return on investment in Deka IBoxx over 30 days. Deka IBoxx is related to or competes with Deka MSCI, and . The investment seeks to track the price and performance yield, before fees and expenses, of the iBoxx Liquid Non-Financi... More
Deka IBoxx 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 Deka IBoxx'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 Deka iBoxx EUR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2565 | |||
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 1.36 | |||
| Value At Risk | (0.34) | |||
| Potential Upside | 0.4358 |
Deka IBoxx Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deka IBoxx's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deka IBoxx's standard deviation. In reality, there are many statistical measures that can use Deka IBoxx historical prices to predict the future Deka IBoxx's volatility.| Risk Adjusted Performance | 0.0819 | |||
| Jensen Alpha | 0.02 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.25) | |||
| Treynor Ratio | 0.451 |
Deka iBoxx EUR Backtested Returns
At this point, Deka IBoxx is very steady. Deka iBoxx EUR secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the etf had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Deka iBoxx EUR, which you can use to evaluate the volatility of the entity. Please confirm Deka IBoxx's Mean Deviation of 0.1935, coefficient of variation of 720.39, and Downside Deviation of 0.2565 to check if the risk estimate we provide is consistent with the expected return of 0.0328%. The etf shows a Beta (market volatility) of 0.0554, which means not very significant fluctuations relative to the market. As returns on the market increase, Deka IBoxx's returns are expected to increase less than the market. However, during the bear market, the loss of holding Deka IBoxx is expected to be smaller as well.
Auto-correlation | -0.23 |
Weak reverse predictability
Deka iBoxx EUR has weak reverse predictability. Overlapping area represents the amount of predictability between Deka IBoxx time series from 15th of November 2024 to 30th of November 2024 and 30th of November 2024 to 15th 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 Deka iBoxx EUR price movement. The serial correlation of -0.23 indicates that over 23.0% of current Deka IBoxx price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Deka iBoxx EUR lagged returns against current returns
Autocorrelation, which is Deka IBoxx 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 Deka IBoxx's etf expected returns. We can calculate the autocorrelation of Deka IBoxx returns to help us make a trade decision. For example, suppose you find that Deka IBoxx 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 |
Deka IBoxx 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 Deka IBoxx etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deka IBoxx etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deka IBoxx etf over time.
Current vs Lagged Prices |
| Timeline |
Deka IBoxx Lagged Returns
When evaluating Deka IBoxx's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deka IBoxx etf have on its future price. Deka IBoxx 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, Deka IBoxx autocorrelation shows the relationship between Deka IBoxx etf current value and its past values and can show if there is a momentum factor associated with investing in Deka iBoxx EUR.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Deka Etf
Deka IBoxx financial ratios help investors to determine whether Deka 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 Deka with respect to the benefits of owning Deka IBoxx security.