KODEX SP500TR (Korea) Market Value
| 379800 Etf | 19,720 15.00 0.08% |
| Symbol | KODEX |
KODEX SP500TR '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 KODEX SP500TR'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 KODEX SP500TR.
| 12/11/2024 |
| 01/10/2025 |
If you would invest 0.00 in KODEX SP500TR on December 11, 2024 and sell it all today you would earn a total of 0.00 from holding KODEX SP500TR or generate 0.0% return on investment in KODEX SP500TR over 30 days.
KODEX SP500TR 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 KODEX SP500TR'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 KODEX SP500TR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8337 | |||
| Information Ratio | 0.1815 | |||
| Maximum Drawdown | 5.92 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.7 |
KODEX SP500TR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for KODEX SP500TR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as KODEX SP500TR's standard deviation. In reality, there are many statistical measures that can use KODEX SP500TR historical prices to predict the future KODEX SP500TR's volatility.| Risk Adjusted Performance | 0.1693 | |||
| Jensen Alpha | 0.1837 | |||
| Total Risk Alpha | 0.169 | |||
| Sortino Ratio | 0.2068 | |||
| Treynor Ratio | 0.5356 |
KODEX SP500TR Backtested Returns
At this point, KODEX SP500TR is very steady. KODEX SP500TR has Sharpe Ratio of 0.17, which conveys that the entity had a 0.17% return per unit of return volatility over the last 3 months. We have found twenty-nine technical indicators for KODEX SP500TR, which you can use to evaluate the volatility of the etf. Please verify KODEX SP500TR's Risk Adjusted Performance of 0.1693, downside deviation of 0.8337, and Mean Deviation of 0.6997 to check out if the risk estimate we provide is consistent with the expected return of 0.16%. The etf secures a Beta (Market Risk) of 0.35, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, KODEX SP500TR's returns are expected to increase less than the market. However, during the bear market, the loss of holding KODEX SP500TR is expected to be smaller as well.
Auto-correlation | 0.34 |
Below average predictability
KODEX SP500TR has below average predictability. Overlapping area represents the amount of predictability between KODEX SP500TR time series from 11th of December 2024 to 26th of December 2024 and 26th of December 2024 to 10th 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 KODEX SP500TR price movement. The serial correlation of 0.34 indicates that nearly 34.0% of current KODEX SP500TR price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.34 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 37.9 K |
KODEX SP500TR lagged returns against current returns
Autocorrelation, which is KODEX SP500TR 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 KODEX SP500TR's etf expected returns. We can calculate the autocorrelation of KODEX SP500TR returns to help us make a trade decision. For example, suppose you find that KODEX SP500TR 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 |
KODEX SP500TR 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 KODEX SP500TR etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if KODEX SP500TR etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in KODEX SP500TR etf over time.
Current vs Lagged Prices |
| Timeline |
KODEX SP500TR Lagged Returns
When evaluating KODEX SP500TR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of KODEX SP500TR etf have on its future price. KODEX SP500TR 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, KODEX SP500TR autocorrelation shows the relationship between KODEX SP500TR etf current value and its past values and can show if there is a momentum factor associated with investing in KODEX SP500TR.
Regressed Prices |
| Timeline |
Pair Trading with KODEX SP500TR
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 KODEX SP500TR 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 KODEX SP500TR will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to KODEX SP500TR could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace KODEX SP500TR 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 KODEX SP500TR - 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 KODEX SP500TR to buy it.
The correlation of KODEX SP500TR 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 KODEX SP500TR moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if KODEX SP500TR 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 KODEX SP500TR 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.