FPT CAPITAL (Vietnam) Market Value
| FUEFCV50 | 11,120 720.00 6.08% |
| Symbol | FPT |
FPT CAPITAL '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 FPT CAPITAL'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 FPT CAPITAL.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in FPT CAPITAL on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding FPT CAPITAL VNX50 or generate 0.0% return on investment in FPT CAPITAL over 30 days.
FPT CAPITAL 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 FPT CAPITAL'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 FPT CAPITAL VNX50 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 6.4 | |||
| Value At Risk | (2.98) | |||
| Potential Upside | 2.51 |
FPT CAPITAL Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for FPT CAPITAL's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as FPT CAPITAL's standard deviation. In reality, there are many statistical measures that can use FPT CAPITAL historical prices to predict the future FPT CAPITAL's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.19) | |||
| Total Risk Alpha | (0.38) | |||
| Treynor Ratio | (0.52) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of FPT CAPITAL'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.
FPT CAPITAL VNX50 Backtested Returns
FPT CAPITAL VNX50 secures Sharpe Ratio (or Efficiency) of -0.0833, which denotes the etf had a -0.0833% return per unit of volatility over the last 3 months. FPT CAPITAL VNX50 exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm FPT CAPITAL's Market Risk Adjusted Performance of (0.51), mean deviation of 1.27, and Standard Deviation of 1.69 to check the risk estimate we provide. The etf shows a Beta (market volatility) of 0.3, which means not very significant fluctuations relative to the market. As returns on the market increase, FPT CAPITAL's returns are expected to increase less than the market. However, during the bear market, the loss of holding FPT CAPITAL is expected to be smaller as well.
Auto-correlation | -0.48 |
Modest reverse predictability
FPT CAPITAL VNX50 has modest reverse predictability. Overlapping area represents the amount of predictability between FPT CAPITAL time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 FPT CAPITAL VNX50 price movement. The serial correlation of -0.48 indicates that about 48.0% of current FPT CAPITAL price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.48 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 118.2 K |
FPT CAPITAL VNX50 lagged returns against current returns
Autocorrelation, which is FPT CAPITAL 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 FPT CAPITAL's etf expected returns. We can calculate the autocorrelation of FPT CAPITAL returns to help us make a trade decision. For example, suppose you find that FPT CAPITAL 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 |
FPT CAPITAL 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 FPT CAPITAL etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if FPT CAPITAL etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in FPT CAPITAL etf over time.
Current vs Lagged Prices |
| Timeline |
FPT CAPITAL Lagged Returns
When evaluating FPT CAPITAL's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of FPT CAPITAL etf have on its future price. FPT CAPITAL 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, FPT CAPITAL autocorrelation shows the relationship between FPT CAPITAL etf current value and its past values and can show if there is a momentum factor associated with investing in FPT CAPITAL VNX50.
Regressed Prices |
| Timeline |
Pair Trading with FPT CAPITAL
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if FPT CAPITAL position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in FPT CAPITAL will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to FPT CAPITAL could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace FPT CAPITAL when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back FPT CAPITAL - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling FPT CAPITAL VNX50 to buy it.
The correlation of FPT CAPITAL is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as FPT CAPITAL moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if FPT CAPITAL VNX50 moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for FPT CAPITAL can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.