Sprott Physical Gold Stock Market Value
| PHYS Stock | CAD 28.60 0.12 0.42% |
| Symbol | Sprott |
Sprott Physical Gold Price To Book Ratio
Sprott Physical '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 Sprott Physical's stock 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 Sprott Physical.
| 02/09/2023 |
| 11/30/2024 |
If you would invest 0.00 in Sprott Physical on February 9, 2023 and sell it all today you would earn a total of 0.00 from holding Sprott Physical Gold or generate 0.0% return on investment in Sprott Physical over 660 days. Sprott Physical is related to or competes with Sprott Physical, Sprott Physical, Sprott Physical, and Sandstorm Gold. Sprott Physical Gold Trust is an exchange traded commodity launched and managed by Sprott Asset Management, LP More
Sprott Physical 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 Sprott Physical's stock 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 Sprott Physical Gold upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.13 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 4.74 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 1.19 |
Sprott Physical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sprott Physical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sprott Physical's standard deviation. In reality, there are many statistical measures that can use Sprott Physical historical prices to predict the future Sprott Physical's volatility.| Risk Adjusted Performance | 0.1099 | |||
| Jensen Alpha | 0.1278 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (2.21) |
Sprott Physical Gold Backtested Returns
As of now, Sprott Stock is very steady. Sprott Physical Gold owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.15, which indicates the firm had a 0.15% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sprott Physical Gold, which you can use to evaluate the volatility of the company. Please validate Sprott Physical's Coefficient Of Variation of 706.66, risk adjusted performance of 0.1099, and Semi Deviation of 0.9847 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. Sprott Physical has a performance score of 11 on a scale of 0 to 100. The entity has a beta of -0.0547, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sprott Physical are expected to decrease at a much lower rate. During the bear market, Sprott Physical is likely to outperform the market. Sprott Physical Gold right now has a risk of 0.94%. Please validate Sprott Physical maximum drawdown, potential upside, and the relationship between the treynor ratio and value at risk , to decide if Sprott Physical will be following its existing price patterns.
Auto-correlation | 0.39 |
Below average predictability
Sprott Physical Gold has below average predictability. Overlapping area represents the amount of predictability between Sprott Physical time series from 9th of February 2023 to 5th of January 2024 and 5th of January 2024 to 30th 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 Sprott Physical Gold price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Sprott Physical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.34 | |
| Residual Average | 0.0 | |
| Price Variance | 6.24 |
Sprott Physical Gold lagged returns against current returns
Autocorrelation, which is Sprott Physical stock'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 Sprott Physical's stock expected returns. We can calculate the autocorrelation of Sprott Physical returns to help us make a trade decision. For example, suppose you find that Sprott Physical has exhibited high autocorrelation historically, and you observe that the stock 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 |
Sprott Physical 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 Sprott Physical stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sprott Physical stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sprott Physical stock over time.
Current vs Lagged Prices |
| Timeline |
Sprott Physical Lagged Returns
When evaluating Sprott Physical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sprott Physical stock have on its future price. Sprott Physical 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, Sprott Physical autocorrelation shows the relationship between Sprott Physical stock current value and its past values and can show if there is a momentum factor associated with investing in Sprott Physical Gold.
Regressed Prices |
| Timeline |
Pair Trading with Sprott Physical
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 Sprott Physical 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 Sprott Physical will appreciate offsetting losses from the drop in the long position's value.Moving against Sprott Stock
| 0.78 | EOG | Eco Atlantic Oil | PairCorr |
| 0.77 | AEMC | Alaska Energy Metals | PairCorr |
| 0.31 | NZP | Chatham Rock Phosphate | PairCorr |
The ability to find closely correlated positions to Sprott Physical could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sprott Physical 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 Sprott Physical - 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 Sprott Physical Gold to buy it.
The correlation of Sprott Physical 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 Sprott Physical moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sprott Physical Gold 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 Sprott Physical 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.Check out Sprott Physical Correlation, Sprott Physical Volatility and Sprott Physical Alpha and Beta module to complement your research on Sprott Physical. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Sprott Physical technical stock 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, stock market cycles, or different charting patterns.