Xtrackers (Germany) Market Value
| XHYG Etf | EUR 15.59 0.03 0.19% |
| Symbol | Xtrackers |
Xtrackers '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' 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.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Xtrackers on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Xtrackers II or generate 0.0% return on investment in Xtrackers over 30 days. Xtrackers is related to or competes with Xtrackers FTSE. The aim is for the investment to reflect the performance of the Markit iBoxx EUR Liquid High Yield Index More
Xtrackers 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' 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 II upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 2.63 | |||
| Value At Risk | (0.32) | |||
| Potential Upside | 0.3135 |
Xtrackers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Xtrackers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Xtrackers' standard deviation. In reality, there are many statistical measures that can use Xtrackers historical prices to predict the future Xtrackers' volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | 1.9 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Xtrackers' 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 II Backtested Returns
Xtrackers II shows Sharpe Ratio of -0.0862, which attests that the etf had a -0.0862% return per unit of risk over the last 3 months. Xtrackers II exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Xtrackers' Standard Deviation of 0.3177, mean deviation of 0.176, and Market Risk Adjusted Performance of 1.91 to validate the risk estimate we provide. The entity maintains a market beta of -0.0217, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Xtrackers are expected to decrease at a much lower rate. During the bear market, Xtrackers is likely to outperform the market.
Auto-correlation | 0.57 |
Modest predictability
Xtrackers II has modest predictability. Overlapping area represents the amount of predictability between Xtrackers time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 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 II price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current Xtrackers price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Xtrackers II lagged returns against current returns
Autocorrelation, which is Xtrackers 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' etf expected returns. We can calculate the autocorrelation of Xtrackers returns to help us make a trade decision. For example, suppose you find that Xtrackers 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 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 etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Xtrackers etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Xtrackers etf over time.
Current vs Lagged Prices |
| Timeline |
Xtrackers Lagged Returns
When evaluating Xtrackers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Xtrackers etf have on its future price. Xtrackers 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 autocorrelation shows the relationship between Xtrackers etf current value and its past values and can show if there is a momentum factor associated with investing in Xtrackers II .
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Xtrackers in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Xtrackers' short interest history, or implied volatility extrapolated from Xtrackers options trading.
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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.Check out Xtrackers Correlation, Xtrackers Volatility and Xtrackers Alpha and Beta module to complement your research on Xtrackers. You can also try the Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
Xtrackers technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.