CTBC Enhanced (Taiwan) Market Value
| 00948B Etf | 9.76 0.07 0.71% |
| Symbol | CTBC |
CTBC Enhanced '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 CTBC Enhanced'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 CTBC Enhanced.
| 12/09/2024 |
| 01/08/2025 |
If you would invest 0.00 in CTBC Enhanced on December 9, 2024 and sell it all today you would earn a total of 0.00 from holding CTBC Enhanced Yield or generate 0.0% return on investment in CTBC Enhanced over 30 days.
CTBC Enhanced 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 CTBC Enhanced'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 CTBC Enhanced Yield upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 2.27 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 1.02 |
CTBC Enhanced Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CTBC Enhanced's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CTBC Enhanced's standard deviation. In reality, there are many statistical measures that can use CTBC Enhanced historical prices to predict the future CTBC Enhanced's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | (0.62) |
CTBC Enhanced Yield Backtested Returns
CTBC Enhanced Yield retains Efficiency (Sharpe Ratio) of -0.0888, which signifies that the etf had a -0.0888% return per unit of risk over the last 3 months. CTBC Enhanced exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm CTBC Enhanced's variance of 0.3716, and Market Risk Adjusted Performance of (0.61) to double-check the risk estimate we provide. The etf owns a Beta (Systematic Risk) of 0.11, which signifies not very significant fluctuations relative to the market. As returns on the market increase, CTBC Enhanced's returns are expected to increase less than the market. However, during the bear market, the loss of holding CTBC Enhanced is expected to be smaller as well.
Auto-correlation | 0.51 |
Modest predictability
CTBC Enhanced Yield has modest predictability. Overlapping area represents the amount of predictability between CTBC Enhanced time series from 9th of December 2024 to 24th of December 2024 and 24th of December 2024 to 8th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of CTBC Enhanced Yield price movement. The serial correlation of 0.51 indicates that about 51.0% of current CTBC Enhanced price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
CTBC Enhanced Yield lagged returns against current returns
Autocorrelation, which is CTBC Enhanced 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 CTBC Enhanced's etf expected returns. We can calculate the autocorrelation of CTBC Enhanced returns to help us make a trade decision. For example, suppose you find that CTBC Enhanced 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 |
CTBC Enhanced 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 CTBC Enhanced etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CTBC Enhanced etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CTBC Enhanced etf over time.
Current vs Lagged Prices |
| Timeline |
CTBC Enhanced Lagged Returns
When evaluating CTBC Enhanced's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CTBC Enhanced etf have on its future price. CTBC Enhanced 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, CTBC Enhanced autocorrelation shows the relationship between CTBC Enhanced etf current value and its past values and can show if there is a momentum factor associated with investing in CTBC Enhanced Yield.
Regressed Prices |
| Timeline |
Pair Trading with CTBC Enhanced
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 CTBC Enhanced 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 CTBC Enhanced will appreciate offsetting losses from the drop in the long position's value.Moving against CTBC Etf
The ability to find closely correlated positions to CTBC Enhanced could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace CTBC Enhanced 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 CTBC Enhanced - 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 CTBC Enhanced Yield to buy it.
The correlation of CTBC Enhanced 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 CTBC Enhanced moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CTBC Enhanced Yield 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 CTBC Enhanced 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.