Ishares Sptsx Global Etf Market Value
| XBM Etf | CAD 21.79 0.12 0.55% |
| 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.
| 10/20/2023 |
| 04/17/2024 |
If you would invest 0.00 in IShares SPTSX on October 20, 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 180 days. IShares SPTSX is related to or competes with IShares SPTSX, IShares SPTSX, IShares MSCI, IShares Diversified, and IShares Canadian. The investment seeks to replicate, net of expenses, the performance of the SPTSX Global Base Metals 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 | 1.42 | |||
| Information Ratio | 0.1387 | |||
| Maximum Drawdown | 6.85 | |||
| Value At Risk | (2.45) | |||
| Potential Upside | 2.72 |
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 | 0.1168 | |||
| Jensen Alpha | 0.2053 | |||
| Total Risk Alpha | 0.1458 | |||
| Sortino Ratio | 0.1525 | |||
| Treynor Ratio | 0.2128 |
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 0.24, which attests that the entity had a 0.24% return per unit of risk over the last 3 months. We have found thirty 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 0.1168, downside deviation of 1.42, and Market Risk Adjusted Performance of 0.2228 to validate if our risk estimates are consistent with your expectations. The etf retains a Market Volatility (i.e., Beta) of 1.25, 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 | 0.72 |
Good predictability
iShares SPTSX Global has good predictability. Overlapping area represents the amount of predictability between IShares SPTSX time series from 20th of October 2023 to 18th of January 2024 and 18th of January 2024 to 17th 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 0.72 indicates that around 72.0% of current IShares SPTSX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 2.36 |
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 |
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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.| LTC | Litecoin | |
| STETH | Staked Ether | |
| LINK | Chainlink |
Check out IShares SPTSX Correlation, IShares SPTSX Volatility and IShares SPTSX Alpha and Beta module to complement your research on IShares SPTSX. You can also try the Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
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.