Ishares Sptsx Global Etf Market Value
| XGD Etf | CAD 19.62 0.12 0.62% |
| Symbol | IShares |
IShares SPTSX '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 IShares SPTSX'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 IShares SPTSX.
| 05/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in IShares SPTSX on May 24, 2023 and sell it all today you would earn a total of 0.00 from holding iShares SPTSX Global or generate 0.0% return on investment in IShares SPTSX over 330 days. IShares SPTSX is related to or competes with IShares SPTSX, IShares SPTSX, IShares SPTSX, IShares SPTSX, and IShares SPTSX. The investment seeks to replicate the performance, net of expenses, of the SPTSX Global Gold Index More
IShares SPTSX 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 IShares SPTSX'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 iShares SPTSX Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.67 | |||
| Information Ratio | 0.0858 | |||
| Maximum Drawdown | 7.2 | |||
| Value At Risk | (2.79) | |||
| Potential Upside | 2.99 |
IShares SPTSX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares SPTSX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares SPTSX's standard deviation. In reality, there are many statistical measures that can use IShares SPTSX historical prices to predict the future IShares SPTSX's volatility.| Risk Adjusted Performance | 0.0805 | |||
| Jensen Alpha | 0.1413 | |||
| Total Risk Alpha | 0.0693 | |||
| Sortino Ratio | 0.0897 | |||
| Treynor Ratio | 0.1644 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of IShares SPTSX'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.
iShares SPTSX Global Backtested Returns
IShares SPTSX appears to be very steady, given 3 months investment horizon. iShares SPTSX Global holds Efficiency (Sharpe) Ratio of 0.19, which attests that the entity had a 0.19% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares SPTSX Global, which you can use to evaluate the volatility of the entity. Please utilize IShares SPTSX's Risk Adjusted Performance of 0.0805, downside deviation of 1.67, and Market Risk Adjusted Performance of 0.1744 to validate if our risk estimates are consistent with your expectations. The etf retains a Market Volatility (i.e., Beta) of 1.19, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, IShares SPTSX will likely underperform.
Auto-correlation | 0.10 |
Insignificant predictability
iShares SPTSX Global has insignificant predictability. Overlapping area represents the amount of predictability between IShares SPTSX time series from 24th of May 2023 to 5th of November 2023 and 5th of November 2023 to 18th 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 iShares SPTSX Global price movement. The serial correlation of 0.1 indicates that less than 10.0% of current IShares SPTSX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 1.27 |
iShares SPTSX Global lagged returns against current returns
Autocorrelation, which is IShares SPTSX 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 IShares SPTSX's etf expected returns. We can calculate the autocorrelation of IShares SPTSX returns to help us make a trade decision. For example, suppose you find that IShares SPTSX 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 |
IShares SPTSX 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 IShares SPTSX etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares SPTSX etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares SPTSX etf over time.
Current vs Lagged Prices |
| Timeline |
IShares SPTSX Lagged Returns
When evaluating IShares SPTSX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares SPTSX etf have on its future price. IShares SPTSX 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, IShares SPTSX autocorrelation shows the relationship between IShares SPTSX etf current value and its past values and can show if there is a momentum factor associated with investing in iShares SPTSX Global.
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 IShares SPTSX 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, IShares SPTSX's short interest history, or implied volatility extrapolated from IShares SPTSX options trading.
Also Currently Popular
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 IShares SPTSX Correlation, IShares SPTSX Volatility and IShares SPTSX Alpha and Beta module to complement your research on IShares SPTSX. Note that the iShares SPTSX Global information on this page should be used as a complementary analysis to other IShares SPTSX's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
IShares SPTSX 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.