Xtrackers MSCI (Germany) Market Value
| XDWT Etf | EUR 93.51 0.85 0.92% |
| Symbol | Xtrackers |
Xtrackers MSCI '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 Xtrackers MSCI'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 Xtrackers MSCI.
| 11/24/2024 |
| 12/24/2024 |
If you would invest 0.00 in Xtrackers MSCI on November 24, 2024 and sell it all today you would earn a total of 0.00 from holding Xtrackers MSCI World or generate 0.0% return on investment in Xtrackers MSCI over 30 days. Xtrackers MSCI is related to or competes with Xtrackers FTSE. The aim is for the investment to reflect the performance before fees and expenses of the MSCI World Information Technolo... More
Xtrackers MSCI 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 Xtrackers MSCI'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 Xtrackers MSCI World upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.46 | |||
| Information Ratio | 0.1619 | |||
| Maximum Drawdown | 6.92 | |||
| Value At Risk | (2.22) | |||
| Potential Upside | 1.86 |
Xtrackers MSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Xtrackers MSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Xtrackers MSCI's standard deviation. In reality, there are many statistical measures that can use Xtrackers MSCI historical prices to predict the future Xtrackers MSCI's volatility.| Risk Adjusted Performance | 0.1531 | |||
| Jensen Alpha | 0.2183 | |||
| Total Risk Alpha | 0.1873 | |||
| Sortino Ratio | 0.1371 | |||
| Treynor Ratio | 1.0 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Xtrackers MSCI'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.
Xtrackers MSCI World Backtested Returns
Xtrackers MSCI appears to be very steady, given 3 months investment horizon. Xtrackers MSCI World shows Sharpe Ratio of 0.18, which attests that the etf had a 0.18% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Xtrackers MSCI World, which you can use to evaluate the volatility of the etf. Please utilize Xtrackers MSCI's Downside Deviation of 1.46, mean deviation of 0.8633, and Market Risk Adjusted Performance of 1.01 to validate if our risk estimates are consistent with your expectations. The entity maintains a market beta of 0.22, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Xtrackers MSCI's returns are expected to increase less than the market. However, during the bear market, the loss of holding Xtrackers MSCI is expected to be smaller as well.
Auto-correlation | 0.33 |
Below average predictability
Xtrackers MSCI World has below average predictability. Overlapping area represents the amount of predictability between Xtrackers MSCI time series from 24th of November 2024 to 9th of December 2024 and 9th of December 2024 to 24th 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 Xtrackers MSCI World price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Xtrackers MSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.43 |
Xtrackers MSCI World lagged returns against current returns
Autocorrelation, which is Xtrackers MSCI 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 Xtrackers MSCI's etf expected returns. We can calculate the autocorrelation of Xtrackers MSCI returns to help us make a trade decision. For example, suppose you find that Xtrackers MSCI 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 |
Xtrackers MSCI 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 Xtrackers MSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Xtrackers MSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Xtrackers MSCI etf over time.
Current vs Lagged Prices |
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Xtrackers MSCI Lagged Returns
When evaluating Xtrackers MSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Xtrackers MSCI etf have on its future price. Xtrackers MSCI 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, Xtrackers MSCI autocorrelation shows the relationship between Xtrackers MSCI etf current value and its past values and can show if there is a momentum factor associated with investing in Xtrackers MSCI World.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Other Information on Investing in Xtrackers Etf
Xtrackers MSCI financial ratios help investors to determine whether Xtrackers 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 Xtrackers with respect to the benefits of owning Xtrackers MSCI security.