Ishares Sptsx Capped Etf Market Value
| XRE Etf | CAD 15.66 0.09 0.57% |
| Symbol | IShares |
IShares SPTSX '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 IShares SPTSX'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 IShares SPTSX.
| 10/23/2024 |
| 11/22/2024 |
If you would invest 0.00 in IShares SPTSX on October 23, 2024 and sell it all today you would earn a total of 0.00 from holding iShares SPTSX Capped or generate 0.0% return on investment in IShares SPTSX over 30 days. IShares SPTSX is related to or competes with IShares SPTSX, IShares Canadian, IShares SPTSX, BMO Equal, and IShares Diversified. The investment seeks to replicate the performance, net of expenses, of the SPTSX Capped REIT Index More
IShares SPTSX 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 IShares SPTSX'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 iShares SPTSX Capped upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7996 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 4.16 | |||
| Value At Risk | (1.35) | |||
| Potential Upside | 1.8 |
IShares SPTSX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares SPTSX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares SPTSX's standard deviation. In reality, there are many statistical measures that can use IShares SPTSX historical prices to predict the future IShares SPTSX's volatility.| Risk Adjusted Performance | 0.0041 | |||
| Jensen Alpha | 0.0101 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | 0.0406 |
iShares SPTSX Capped Backtested Returns
iShares SPTSX Capped holds Efficiency (Sharpe) Ratio of -0.0824, which attests that the entity had a -0.0824% return per unit of risk over the last 3 months. iShares SPTSX Capped exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out IShares SPTSX's Market Risk Adjusted Performance of 0.0506, risk adjusted performance of 0.0041, and Downside Deviation of 0.7996 to validate the risk estimate we provide. The etf retains a Market Volatility (i.e., Beta) of -0.17, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning IShares SPTSX are expected to decrease at a much lower rate. During the bear market, IShares SPTSX is likely to outperform the market.
Auto-correlation | 0.80 |
Very good predictability
iShares SPTSX Capped has very good predictability. Overlapping area represents the amount of predictability between IShares SPTSX time series from 23rd of October 2024 to 7th of November 2024 and 7th of November 2024 to 22nd 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 iShares SPTSX Capped price movement. The serial correlation of 0.8 indicates that around 80.0% of current IShares SPTSX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
iShares SPTSX Capped lagged returns against current returns
Autocorrelation, which is IShares SPTSX 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 IShares SPTSX's etf expected returns. We can calculate the autocorrelation of IShares SPTSX returns to help us make a trade decision. For example, suppose you find that IShares SPTSX 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 |
IShares SPTSX 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 IShares SPTSX etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares SPTSX etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares SPTSX etf over time.
Current vs Lagged Prices |
| Timeline |
IShares SPTSX Lagged Returns
When evaluating IShares SPTSX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares SPTSX etf have on its future price. IShares SPTSX 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, IShares SPTSX autocorrelation shows the relationship between IShares SPTSX etf current value and its past values and can show if there is a momentum factor associated with investing in iShares SPTSX Capped.
Regressed Prices |
| Timeline |
Pair Trading with IShares SPTSX
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 IShares SPTSX 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 IShares SPTSX will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.96 | ZRE | BMO Equal Weight | PairCorr |
| 0.99 | RIT | CI Canadian REIT | PairCorr |
| 0.88 | VRE | Vanguard FTSE Canadian | PairCorr |
| 0.64 | CGR | iShares Global Real | PairCorr |
Moving against IShares Etf
| 0.68 | BITC | Ninepoint Bitcoin ETF | PairCorr |
| 0.67 | EBIT | Bitcoin ETF CAD | PairCorr |
| 0.66 | CBCX | CI Galaxy Blockchain | PairCorr |
| 0.66 | FBTC | Fidelity Advantage | PairCorr |
| 0.66 | BTCQ | 3iQ Bitcoin ETF | PairCorr |
The ability to find closely correlated positions to IShares SPTSX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares SPTSX 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 IShares SPTSX - 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 iShares SPTSX Capped to buy it.
The correlation of IShares SPTSX 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 IShares SPTSX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares SPTSX Capped 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 IShares SPTSX 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 IShares Etf
IShares SPTSX financial ratios help investors to determine whether IShares 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 IShares with respect to the benefits of owning IShares SPTSX security.