Sparinvest SICAV (Denmark) Market Value
| SSIPEURR | EUR 269.90 0.40 0.15% |
| Symbol | Sparinvest |
Please note, there is a significant difference between Sparinvest SICAV's value and its price as these two are different measures arrived at by different means. Investors typically determine if Sparinvest SICAV is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Sparinvest SICAV'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.
Sparinvest SICAV '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 Sparinvest SICAV's fund 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 Sparinvest SICAV.
| 05/31/2024 |
| 11/27/2024 |
If you would invest 0.00 in Sparinvest SICAV on May 31, 2024 and sell it all today you would earn a total of 0.00 from holding Sparinvest SICAV Procedo or generate 0.0% return on investment in Sparinvest SICAV over 180 days. More
Sparinvest SICAV 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 Sparinvest SICAV's fund 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 Sparinvest SICAV Procedo upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5842 | |||
| Information Ratio | (0.10) | |||
| Maximum Drawdown | 3.35 | |||
| Value At Risk | (0.76) | |||
| Potential Upside | 0.8897 |
Sparinvest SICAV Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparinvest SICAV's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparinvest SICAV's standard deviation. In reality, there are many statistical measures that can use Sparinvest SICAV historical prices to predict the future Sparinvest SICAV's volatility.| Risk Adjusted Performance | 0.1189 | |||
| Jensen Alpha | 0.0364 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.253 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sparinvest SICAV'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.
Sparinvest SICAV Procedo Backtested Returns
Currently, Sparinvest SICAV Procedo is very steady. Sparinvest SICAV Procedo owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.15, which indicates the fund had a 0.15% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sparinvest SICAV Procedo, which you can use to evaluate the volatility of the fund. Please validate Sparinvest SICAV's Risk Adjusted Performance of 0.1189, downside deviation of 0.5842, and Standard Deviation of 0.488 to confirm if the risk estimate we provide is consistent with the expected return of 0.0729%. The entity has a beta of 0.27, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sparinvest SICAV's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sparinvest SICAV is expected to be smaller as well.
Auto-correlation | 0.27 |
Poor predictability
Sparinvest SICAV Procedo has poor predictability. Overlapping area represents the amount of predictability between Sparinvest SICAV time series from 31st of May 2024 to 29th of August 2024 and 29th of August 2024 to 27th 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 Sparinvest SICAV Procedo price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Sparinvest SICAV price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.27 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 15.6 |
Sparinvest SICAV Procedo lagged returns against current returns
Autocorrelation, which is Sparinvest SICAV fund'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 Sparinvest SICAV's fund expected returns. We can calculate the autocorrelation of Sparinvest SICAV returns to help us make a trade decision. For example, suppose you find that Sparinvest SICAV has exhibited high autocorrelation historically, and you observe that the fund 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 |
Sparinvest SICAV 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 Sparinvest SICAV fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparinvest SICAV fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparinvest SICAV fund over time.
Current vs Lagged Prices |
| Timeline |
Sparinvest SICAV Lagged Returns
When evaluating Sparinvest SICAV's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparinvest SICAV fund have on its future price. Sparinvest SICAV 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, Sparinvest SICAV autocorrelation shows the relationship between Sparinvest SICAV fund current value and its past values and can show if there is a momentum factor associated with investing in Sparinvest SICAV Procedo.
Regressed Prices |
| Timeline |
Pair Trading with Sparinvest SICAV
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 Sparinvest SICAV 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 Sparinvest SICAV will appreciate offsetting losses from the drop in the long position's value.Moving together with Sparinvest Fund
| 0.91 | JYIKOB | Jyske Invest Korte | PairCorr |
| 0.78 | JYIVIRK | Jyske Invest Virksom | PairCorr |
| 0.86 | JYIHRV | Jyske Invest Hjt | PairCorr |
The ability to find closely correlated positions to Sparinvest SICAV could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sparinvest SICAV 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 Sparinvest SICAV - 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 Sparinvest SICAV Procedo to buy it.
The correlation of Sparinvest SICAV 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 Sparinvest SICAV moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sparinvest SICAV Procedo 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 Sparinvest SICAV 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 Sparinvest Fund
Sparinvest SICAV financial ratios help investors to determine whether Sparinvest Fund 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 Sparinvest with respect to the benefits of owning Sparinvest SICAV security.
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