Sp Tsx Composite Index Market Value
| GSPTSE Index | 25,391 97.62 0.38% |
| Symbol | GSPTSE |
SP TSX '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 SP TSX'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 SP TSX.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in SP TSX on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding SP TSX Composite or generate 0.0% return on investment in SP TSX over 30 days.
SP TSX 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 SP TSX'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 SP TSX Composite upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5092 | |||
| Information Ratio | 0.0335 | |||
| Maximum Drawdown | 2.59 | |||
| Value At Risk | (0.63) | |||
| Potential Upside | 1.08 |
SP TSX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SP TSX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SP TSX's standard deviation. In reality, there are many statistical measures that can use SP TSX historical prices to predict the future SP TSX's volatility.| Risk Adjusted Performance | 0.2013 | |||
| Total Risk Alpha | 0.0515 | |||
| Sortino Ratio | 0.0365 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SP TSX'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.
SP TSX Composite Backtested Returns
SP TSX Composite retains Efficiency (Sharpe Ratio) of 0.25, which indicates the index had a 0.25% return per unit of price deviation over the last 3 months. We have found twenty-seven technical indicators for SP TSX, which you can use to evaluate the volatility of the index. The entity owns a Beta (Systematic Risk) of 0.0, which indicates not very significant fluctuations relative to the market. the returns on MARKET and SP TSX are completely uncorrelated.
Auto-correlation | 0.91 |
Excellent predictability
SP TSX Composite has excellent predictability. Overlapping area represents the amount of predictability between SP TSX time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th of November 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 SP TSX Composite price movement. The serial correlation of 0.91 indicates that approximately 91.0% of current SP TSX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.91 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 48 K |
SP TSX Composite lagged returns against current returns
Autocorrelation, which is SP TSX 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 SP TSX's index expected returns. We can calculate the autocorrelation of SP TSX returns to help us make a trade decision. For example, suppose you find that SP TSX 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 |
SP TSX 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 SP TSX index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SP TSX index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SP TSX index over time.
Current vs Lagged Prices |
| Timeline |
SP TSX Lagged Returns
When evaluating SP TSX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SP TSX index have on its future price. SP TSX 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, SP TSX autocorrelation shows the relationship between SP TSX index current value and its past values and can show if there is a momentum factor associated with investing in SP TSX Composite.
Regressed Prices |
| Timeline |