CTBC Treasury (Taiwan) Market Value
| 00795B Etf | TWD 30.19 0.10 0.33% |
| Symbol | CTBC |
Please note, there is a significant difference between CTBC Treasury's value and its price as these two are different measures arrived at by different means. Investors typically determine if CTBC Treasury is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, CTBC Treasury's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
CTBC Treasury '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 CTBC Treasury'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 CTBC Treasury.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in CTBC Treasury on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding CTBC Treasury 20 or generate 0.0% return on investment in CTBC Treasury over 360 days. CTBC Treasury is related to or competes with Yuanta Daily, and Paradigm. More
CTBC Treasury 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 CTBC Treasury'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 CTBC Treasury 20 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.20) | |||
| Maximum Drawdown | 3.89 | |||
| Value At Risk | (1.45) | |||
| Potential Upside | 1.08 |
CTBC Treasury Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CTBC Treasury's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CTBC Treasury's standard deviation. In reality, there are many statistical measures that can use CTBC Treasury historical prices to predict the future CTBC Treasury's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | 0.5234 |
CTBC Treasury 20 Backtested Returns
At this point, CTBC Treasury is very steady. CTBC Treasury 20 retains Efficiency (Sharpe Ratio) of 0.0051, which signifies that the etf had a 0.0051% return per unit of risk over the last 3 months. We have found twenty-three technical indicators for CTBC Treasury, which you can use to evaluate the volatility of the entity. Please confirm CTBC Treasury's market risk adjusted performance of 0.5334, and Variance of 0.5819 to double-check if the risk estimate we provide is consistent with the expected return of 0.004%. The etf owns a Beta (Systematic Risk) of -0.0432, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning CTBC Treasury are expected to decrease at a much lower rate. During the bear market, CTBC Treasury is likely to outperform the market.
Auto-correlation | -0.29 |
Weak reverse predictability
CTBC Treasury 20 has weak reverse predictability. Overlapping area represents the amount of predictability between CTBC Treasury time series from 7th of December 2023 to 4th of June 2024 and 4th of June 2024 to 1st of December 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 CTBC Treasury 20 price movement. The serial correlation of -0.29 indicates that nearly 29.0% of current CTBC Treasury price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.29 | |
| Spearman Rank Test | -0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 0.68 |
CTBC Treasury 20 lagged returns against current returns
Autocorrelation, which is CTBC Treasury 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 CTBC Treasury's etf expected returns. We can calculate the autocorrelation of CTBC Treasury returns to help us make a trade decision. For example, suppose you find that CTBC Treasury 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 |
CTBC Treasury 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 CTBC Treasury etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CTBC Treasury etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CTBC Treasury etf over time.
Current vs Lagged Prices |
| Timeline |
CTBC Treasury Lagged Returns
When evaluating CTBC Treasury's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CTBC Treasury etf have on its future price. CTBC Treasury 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, CTBC Treasury autocorrelation shows the relationship between CTBC Treasury etf current value and its past values and can show if there is a momentum factor associated with investing in CTBC Treasury 20.
Regressed Prices |
| Timeline |
Pair Trading with CTBC Treasury
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if CTBC Treasury position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in CTBC Treasury will appreciate offsetting losses from the drop in the long position's value.Moving together with CTBC Etf
Moving against CTBC Etf
| 0.89 | 00881 | Cathay Taiwan 5G | PairCorr |
| 0.84 | 0050 | YuantaP shares Taiwan | PairCorr |
| 0.79 | 006203 | YuantaP shares MSCI | PairCorr |
| 0.78 | 0057 | Fubon MSCI Taiwan | PairCorr |
| 0.76 | 006208 | Fubon FTSE TWSE | PairCorr |
The ability to find closely correlated positions to CTBC Treasury could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CTBC Treasury when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back CTBC Treasury - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling CTBC Treasury 20 to buy it.
The correlation of CTBC Treasury is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as CTBC Treasury moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CTBC Treasury 20 moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for CTBC Treasury can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Other Information on Investing in CTBC Etf
CTBC Treasury financial ratios help investors to determine whether CTBC Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in CTBC with respect to the benefits of owning CTBC Treasury security.