Capital ICE (Taiwan) Market Value
| 00754B Etf | 36.77 0.30 0.81% |
| Symbol | Capital |
Capital ICE '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 Capital ICE'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 Capital ICE.
| 11/20/2023 |
| 12/14/2024 |
If you would invest 0.00 in Capital ICE on November 20, 2023 and sell it all today you would earn a total of 0.00 from holding Capital ICE 15 or generate 0.0% return on investment in Capital ICE over 390 days.
Capital ICE 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 Capital ICE'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 Capital ICE 15 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 2.73 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 0.9581 |
Capital ICE Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Capital ICE's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Capital ICE's standard deviation. In reality, there are many statistical measures that can use Capital ICE historical prices to predict the future Capital ICE's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | (1.72) |
Capital ICE 15 Backtested Returns
Capital ICE 15 secures Sharpe Ratio (or Efficiency) of -0.0881, which signifies that the etf had a -0.0881% return per unit of risk over the last 3 months. Capital ICE 15 exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Capital ICE's Mean Deviation of 0.4685, risk adjusted performance of (0.07), and Standard Deviation of 0.627 to double-check the risk estimate we provide. The etf shows a Beta (market volatility) of 0.041, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Capital ICE's returns are expected to increase less than the market. However, during the bear market, the loss of holding Capital ICE is expected to be smaller as well.
Auto-correlation | 0.26 |
Poor predictability
Capital ICE 15 has poor predictability. Overlapping area represents the amount of predictability between Capital ICE time series from 20th of November 2023 to 2nd of June 2024 and 2nd of June 2024 to 14th 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 Capital ICE 15 price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current Capital ICE price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.26 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.63 |
Capital ICE 15 lagged returns against current returns
Autocorrelation, which is Capital ICE 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 Capital ICE's etf expected returns. We can calculate the autocorrelation of Capital ICE returns to help us make a trade decision. For example, suppose you find that Capital ICE 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 |
Capital ICE 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 Capital ICE etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Capital ICE etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Capital ICE etf over time.
Current vs Lagged Prices |
| Timeline |
Capital ICE Lagged Returns
When evaluating Capital ICE's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Capital ICE etf have on its future price. Capital ICE 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, Capital ICE autocorrelation shows the relationship between Capital ICE etf current value and its past values and can show if there is a momentum factor associated with investing in Capital ICE 15.
Regressed Prices |
| Timeline |
Pair Trading with Capital ICE
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 Capital ICE 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 Capital ICE will appreciate offsetting losses from the drop in the long position's value.Moving against Capital Etf
| 0.78 | 00881 | Cathay Taiwan 5G | PairCorr |
| 0.71 | 0050 | YuantaP shares Taiwan | PairCorr |
| 0.66 | 0057 | Fubon MSCI Taiwan | PairCorr |
| 0.62 | 0053 | YuantaP shares Taiwan | PairCorr |
| 0.56 | 00631L | Yuanta Daily Taiwan | PairCorr |
The ability to find closely correlated positions to Capital ICE could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Capital ICE 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 Capital ICE - 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 Capital ICE 15 to buy it.
The correlation of Capital ICE 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 Capital ICE moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Capital ICE 15 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 Capital ICE 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.