JAPAN EX (Germany) Market Value
| OSKU Stock | EUR 10.50 0.10 0.94% |
| Symbol | JAPAN |
JAPAN EX '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 JAPAN EX's stock 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 JAPAN EX.
| 10/02/2023 |
| 12/25/2024 |
If you would invest 0.00 in JAPAN EX on October 2, 2023 and sell it all today you would earn a total of 0.00 from holding JAPAN EX UNADR or generate 0.0% return on investment in JAPAN EX over 450 days. JAPAN EX is related to or competes with LONDON STEXUNSPADRS12, Deutsche Brse, Nasdaq, Cboe Global, ASX, SINGAPORE EXUNSPADR15. Japan Exchange Group, Inc. provides and operates markets for exchange-traded financial instruments in Japan More
JAPAN EX 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 JAPAN EX's stock 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 JAPAN EX UNADR upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 10.08 | |||
| Value At Risk | (2.75) | |||
| Potential Upside | 2.73 |
JAPAN EX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for JAPAN EX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as JAPAN EX's standard deviation. In reality, there are many statistical measures that can use JAPAN EX historical prices to predict the future JAPAN EX's volatility.| Risk Adjusted Performance | 0.0023 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.10) | |||
| Treynor Ratio | (0.04) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of JAPAN EX'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.
JAPAN EX UNADR Backtested Returns
JAPAN EX UNADR holds Efficiency (Sharpe) Ratio of -0.0447, which attests that the company had a -0.0447% return per unit of volatility over the last 3 months. JAPAN EX UNADR exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out JAPAN EX's market risk adjusted performance of (0.03), and Coefficient Of Variation of (22,230) to validate the risk estimate we provide. The firm retains a Market Volatility (i.e., Beta) of 0.5, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, JAPAN EX's returns are expected to increase less than the market. However, during the bear market, the loss of holding JAPAN EX is expected to be smaller as well. At this point, JAPAN EX UNADR has a negative expected return of -0.0836%. Please make sure to check out JAPAN EX's total risk alpha, potential upside, kurtosis, as well as the relationship between the treynor ratio and skewness , to decide if JAPAN EX UNADR performance from the past will be repeated in the future.
Auto-correlation | 0.51 |
Modest predictability
JAPAN EX UNADR has modest predictability. Overlapping area represents the amount of predictability between JAPAN EX time series from 2nd of October 2023 to 14th of May 2024 and 14th of May 2024 to 25th 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 JAPAN EX UNADR price movement. The serial correlation of 0.51 indicates that about 51.0% of current JAPAN EX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
JAPAN EX UNADR lagged returns against current returns
Autocorrelation, which is JAPAN EX stock'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 JAPAN EX's stock expected returns. We can calculate the autocorrelation of JAPAN EX returns to help us make a trade decision. For example, suppose you find that JAPAN EX has exhibited high autocorrelation historically, and you observe that the stock 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 |
JAPAN EX 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 JAPAN EX stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if JAPAN EX stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in JAPAN EX stock over time.
Current vs Lagged Prices |
| Timeline |
JAPAN EX Lagged Returns
When evaluating JAPAN EX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of JAPAN EX stock have on its future price. JAPAN EX 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, JAPAN EX autocorrelation shows the relationship between JAPAN EX stock current value and its past values and can show if there is a momentum factor associated with investing in JAPAN EX UNADR.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in JAPAN Stock
JAPAN EX financial ratios help investors to determine whether JAPAN Stock 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 JAPAN with respect to the benefits of owning JAPAN EX security.