Select Sector (Mexico) Market Value
| XLI Etf | MXN 2,089 30.00 1.46% |
| Symbol | Select |
Select Sector '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 Select Sector'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 Select Sector.
| 07/04/2022 |
| 04/24/2024 |
If you would invest 0.00 in Select Sector on July 4, 2022 and sell it all today you would earn a total of 0.00 from holding The Select Sector or generate 0.0% return on investment in Select Sector over 660 days. Select Sector is related to or competes with Vanguard Index, Vanguard Index, Vanguard STAR, Vanguard Bond, Invesco QQQ, and Vanguard International. The investment seeks to provide investment results that, before expenses, correspond generally to the price and yield pe... More
Select Sector 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 Select Sector'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 The Select Sector upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.01 | |||
| Information Ratio | 0.0742 | |||
| Maximum Drawdown | 5.23 | |||
| Value At Risk | (1.25) | |||
| Potential Upside | 1.77 |
Select Sector Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Select Sector's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Select Sector's standard deviation. In reality, there are many statistical measures that can use Select Sector historical prices to predict the future Select Sector's volatility.| Risk Adjusted Performance | 0.1152 | |||
| Jensen Alpha | 0.1559 | |||
| Total Risk Alpha | 0.0288 | |||
| Sortino Ratio | 0.0665 | |||
| Treynor Ratio | (3.60) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Select Sector'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.
Select Sector Backtested Returns
We consider Select Sector very steady. Select Sector owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.14, which indicates the etf had a 0.14% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for The Select Sector, which you can use to evaluate the volatility of the etf. Please validate Select Sector's Semi Deviation of 0.3894, coefficient of variation of 556.38, and Risk Adjusted Performance of 0.1152 to confirm if the risk estimate we provide is consistent with the expected return of 0.12%. The entity has a beta of -0.0423, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Select Sector are expected to decrease at a much lower rate. During the bear market, Select Sector is likely to outperform the market.
Auto-correlation | -0.38 |
Poor reverse predictability
The Select Sector has poor reverse predictability. Overlapping area represents the amount of predictability between Select Sector time series from 4th of July 2022 to 30th of May 2023 and 30th of May 2023 to 24th 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 Select Sector price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Select Sector price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 10.4 K |
Select Sector lagged returns against current returns
Autocorrelation, which is Select Sector 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 Select Sector's etf expected returns. We can calculate the autocorrelation of Select Sector returns to help us make a trade decision. For example, suppose you find that Select Sector 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 |
Select Sector 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 Select Sector etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Select Sector etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Select Sector etf over time.
Current vs Lagged Prices |
| Timeline |
Select Sector Lagged Returns
When evaluating Select Sector's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Select Sector etf have on its future price. Select Sector 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, Select Sector autocorrelation shows the relationship between Select Sector etf current value and its past values and can show if there is a momentum factor associated with investing in The Select Sector.
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 Select Sector 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, Select Sector's short interest history, or implied volatility extrapolated from Select Sector 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 Select Sector Correlation, Select Sector Volatility and Select Sector Alpha and Beta module to complement your research on Select Sector. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
Select Sector 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.