SSgA SPDR (Netherlands) Market Value
| SXLU Etf | EUR 37.27 0.03 0.08% |
| Symbol | SSgA |
SSgA SPDR '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 SSgA SPDR'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 SSgA SPDR.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in SSgA SPDR on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding SSgA SPDR ETFs or generate 0.0% return on investment in SSgA SPDR over 30 days. SSgA SPDR is related to or competes with SSgA SPDR, and . Utilities Select Sector UCITS ETF is to track the performance of large sized U.S More
SSgA SPDR 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 SSgA SPDR'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 SSgA SPDR ETFs upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8236 | |||
| Information Ratio | 0.0971 | |||
| Maximum Drawdown | 3.31 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 1.38 |
SSgA SPDR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SSgA SPDR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SSgA SPDR's standard deviation. In reality, there are many statistical measures that can use SSgA SPDR historical prices to predict the future SSgA SPDR's volatility.| Risk Adjusted Performance | 0.1347 | |||
| Jensen Alpha | 0.1513 | |||
| Total Risk Alpha | 0.0523 | |||
| Sortino Ratio | 0.0978 | |||
| Treynor Ratio | 0.9683 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SSgA SPDR'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.
SSgA SPDR ETFs Backtested Returns
We consider SSgA SPDR very steady. SSgA SPDR ETFs owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.21, which indicates the etf had a 0.21% return per unit of risk over the last 3 months. We have found thirty technical indicators for SSgA SPDR ETFs, which you can use to evaluate the volatility of the etf. Please validate SSgA SPDR's Semi Deviation of 0.6353, risk adjusted performance of 0.1347, and Coefficient Of Variation of 471.82 to confirm if the risk estimate we provide is consistent with the expected return of 0.17%. The entity has a beta of 0.17, which indicates not very significant fluctuations relative to the market. As returns on the market increase, SSgA SPDR's returns are expected to increase less than the market. However, during the bear market, the loss of holding SSgA SPDR is expected to be smaller as well.
Auto-correlation | 0.21 |
Weak predictability
SSgA SPDR ETFs has weak predictability. Overlapping area represents the amount of predictability between SSgA SPDR time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 SSgA SPDR ETFs price movement. The serial correlation of 0.21 indicates that over 21.0% of current SSgA SPDR price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
SSgA SPDR ETFs lagged returns against current returns
Autocorrelation, which is SSgA SPDR 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 SSgA SPDR's etf expected returns. We can calculate the autocorrelation of SSgA SPDR returns to help us make a trade decision. For example, suppose you find that SSgA SPDR 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 |
SSgA SPDR 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 SSgA SPDR etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SSgA SPDR etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SSgA SPDR etf over time.
Current vs Lagged Prices |
| Timeline |
SSgA SPDR Lagged Returns
When evaluating SSgA SPDR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SSgA SPDR etf have on its future price. SSgA SPDR 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, SSgA SPDR autocorrelation shows the relationship between SSgA SPDR etf current value and its past values and can show if there is a momentum factor associated with investing in SSgA SPDR ETFs.
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 SSgA SPDR 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, SSgA SPDR's short interest history, or implied volatility extrapolated from SSgA SPDR options trading.
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Check out SSgA SPDR Correlation, SSgA SPDR Volatility and SSgA SPDR Alpha and Beta module to complement your research on SSgA SPDR. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
SSgA SPDR 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.