Sptsx Equal Weight Index Market Value
| TXBE Index | 255.11 1.77 0.69% |
| Symbol | SPTSX |
SPTSX Equal '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 SPTSX Equal's index 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 SPTSX Equal.
| 02/19/2024 |
| 04/19/2024 |
If you would invest 0.00 in SPTSX Equal on February 19, 2024 and sell it all today you would earn a total of 0.00 from holding SPTSX Equal Weight or generate 0.0% return on investment in SPTSX Equal over 60 days.
SPTSX Equal 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 SPTSX Equal's index 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 SPTSX Equal Weight upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.48 | |||
| Information Ratio | 0.0991 | |||
| Maximum Drawdown | 6.01 | |||
| Value At Risk | (2.49) | |||
| Potential Upside | 2.84 |
SPTSX Equal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SPTSX Equal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SPTSX Equal's standard deviation. In reality, there are many statistical measures that can use SPTSX Equal historical prices to predict the future SPTSX Equal's volatility.| Risk Adjusted Performance | 0.0935 | |||
| Total Risk Alpha | 0.0657 | |||
| Sortino Ratio | 0.1095 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SPTSX Equal'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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as SPTSX Equal. Your research has to be compared to or analyzed against SPTSX Equal's peers to derive any actionable benefits. When done correctly, SPTSX Equal's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in SPTSX Equal Weight.
SPTSX Equal Weight Backtested Returns
SPTSX Equal Weight owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.18, which indicates the index had a 0.18% return per unit of standard deviation over the last 3 months. We have found twenty-six technical indicators for SPTSX Equal Weight, which you can use to evaluate the volatility of the index. The entity has a beta of 0.0, which indicates not very significant fluctuations relative to the market. the returns on MARKET and SPTSX Equal are completely uncorrelated.
Auto-correlation | 0.79 |
Good predictability
SPTSX Equal Weight has good predictability. Overlapping area represents the amount of predictability between SPTSX Equal time series from 19th of February 2024 to 20th of March 2024 and 20th of March 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 SPTSX Equal Weight price movement. The serial correlation of 0.79 indicates that around 79.0% of current SPTSX Equal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 90.92 |
SPTSX Equal Weight lagged returns against current returns
Autocorrelation, which is SPTSX Equal index'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 SPTSX Equal's index expected returns. We can calculate the autocorrelation of SPTSX Equal returns to help us make a trade decision. For example, suppose you find that SPTSX Equal has exhibited high autocorrelation historically, and you observe that the index 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 |
SPTSX Equal 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 SPTSX Equal index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SPTSX Equal index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SPTSX Equal index over time.
Current vs Lagged Prices |
| Timeline |
SPTSX Equal Lagged Returns
When evaluating SPTSX Equal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SPTSX Equal index have on its future price. SPTSX Equal 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, SPTSX Equal autocorrelation shows the relationship between SPTSX Equal index current value and its past values and can show if there is a momentum factor associated with investing in SPTSX Equal Weight.
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 SPTSX Equal 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, SPTSX Equal's short interest history, or implied volatility extrapolated from SPTSX Equal options trading.
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SPTSX Equal technical index 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, index market cycles, or different charting patterns.