Lyxor Japan (Switzerland) Market Value
| LYJPN Etf | JPY 26,660 145.00 0.54% |
| Symbol | Lyxor |
Lyxor Japan '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 Lyxor Japan'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 Lyxor Japan.
| 12/19/2023 |
| 12/13/2024 |
If you would invest 0.00 in Lyxor Japan on December 19, 2023 and sell it all today you would earn a total of 0.00 from holding Lyxor Japan UCITS or generate 0.0% return on investment in Lyxor Japan over 360 days. Lyxor Japan is related to or competes with Lyxor MSCI. The Lyxor Japan UCITS ETF is a UCITS compliant exchange traded fund that aims to track the benchmark index Topix Total R... More
Lyxor Japan 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 Lyxor Japan'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 Lyxor Japan UCITS upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9616 | |||
| Information Ratio | 0.0127 | |||
| Maximum Drawdown | 5.15 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 2.1 |
Lyxor Japan Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lyxor Japan's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lyxor Japan's standard deviation. In reality, there are many statistical measures that can use Lyxor Japan historical prices to predict the future Lyxor Japan's volatility.| Risk Adjusted Performance | 0.0827 | |||
| Jensen Alpha | 0.0947 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0136 | |||
| Treynor Ratio | 1.1 |
Lyxor Japan UCITS Backtested Returns
Currently, Lyxor Japan UCITS is very steady. Lyxor Japan UCITS has Sharpe Ratio of 0.1, which conveys that the entity had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Lyxor Japan, which you can use to evaluate the volatility of the etf. Please verify Lyxor Japan's Risk Adjusted Performance of 0.0827, downside deviation of 0.9616, and Mean Deviation of 0.7932 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. The etf secures a Beta (Market Risk) of 0.0935, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Lyxor Japan's returns are expected to increase less than the market. However, during the bear market, the loss of holding Lyxor Japan is expected to be smaller as well.
Auto-correlation | -0.36 |
Poor reverse predictability
Lyxor Japan UCITS has poor reverse predictability. Overlapping area represents the amount of predictability between Lyxor Japan time series from 19th of December 2023 to 16th of June 2024 and 16th of June 2024 to 13th 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 Lyxor Japan UCITS price movement. The serial correlation of -0.36 indicates that just about 36.0% of current Lyxor Japan price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.36 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 M |
Lyxor Japan UCITS lagged returns against current returns
Autocorrelation, which is Lyxor Japan 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 Lyxor Japan's etf expected returns. We can calculate the autocorrelation of Lyxor Japan returns to help us make a trade decision. For example, suppose you find that Lyxor Japan 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 |
Lyxor Japan 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 Lyxor Japan etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lyxor Japan etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lyxor Japan etf over time.
Current vs Lagged Prices |
| Timeline |
Lyxor Japan Lagged Returns
When evaluating Lyxor Japan's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lyxor Japan etf have on its future price. Lyxor Japan 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, Lyxor Japan autocorrelation shows the relationship between Lyxor Japan etf current value and its past values and can show if there is a momentum factor associated with investing in Lyxor Japan UCITS.
Regressed Prices |
| Timeline |
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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 Lyxor Etf
Lyxor Japan financial ratios help investors to determine whether Lyxor 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 Lyxor with respect to the benefits of owning Lyxor Japan security.