Sptsx Dividend Aristocrats Index Market Value
| GSPTXDV Index | 357.05 2.39 0.67% |
| Symbol | SPTSX |
SPTSX Dividend '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 SPTSX Dividend's index 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 SPTSX Dividend.
| 12/20/2024 |
| 03/20/2025 |
If you would invest 0.00 in SPTSX Dividend on December 20, 2024 and sell it all today you would earn a total of 0.00 from holding SPTSX Dividend Aristocrats or generate 0.0% return on investment in SPTSX Dividend over 90 days.
SPTSX Dividend 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 SPTSX Dividend's index 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 SPTSX Dividend Aristocrats upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.0294 | |||
| Maximum Drawdown | 2.21 | |||
| Value At Risk | (1.02) | |||
| Potential Upside | 0.8483 |
SPTSX Dividend Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SPTSX Dividend's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SPTSX Dividend's standard deviation. In reality, there are many statistical measures that can use SPTSX Dividend historical prices to predict the future SPTSX Dividend's volatility.| Risk Adjusted Performance | (0.07) | |||
| Total Risk Alpha | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SPTSX Dividend'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.
SPTSX Dividend Arist Backtested Returns
SPTSX Dividend Arist owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0146, which indicates the index had a -0.0146 % return per unit of standard deviation over the last 3 months. SPTSX Dividend Aristocrats exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. The entity has a beta of 0.0, which indicates not very significant fluctuations relative to the market. the returns on MARKET and SPTSX Dividend are completely uncorrelated.
Auto-correlation | 0.05 |
Virtually no predictability
SPTSX Dividend Aristocrats has virtually no predictability. Overlapping area represents the amount of predictability between SPTSX Dividend time series from 20th of December 2024 to 3rd of February 2025 and 3rd of February 2025 to 20th of March 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 SPTSX Dividend Arist price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current SPTSX Dividend price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.05 | |
| Spearman Rank Test | 0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 5.95 |
SPTSX Dividend Arist lagged returns against current returns
Autocorrelation, which is SPTSX Dividend index'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 SPTSX Dividend's index expected returns. We can calculate the autocorrelation of SPTSX Dividend returns to help us make a trade decision. For example, suppose you find that SPTSX Dividend has exhibited high autocorrelation historically, and you observe that the index 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 |
SPTSX Dividend 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 SPTSX Dividend index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SPTSX Dividend index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SPTSX Dividend index over time.
Current vs Lagged Prices |
| Timeline |
SPTSX Dividend Lagged Returns
When evaluating SPTSX Dividend's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SPTSX Dividend index have on its future price. SPTSX Dividend 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, SPTSX Dividend autocorrelation shows the relationship between SPTSX Dividend index current value and its past values and can show if there is a momentum factor associated with investing in SPTSX Dividend Aristocrats.
Regressed Prices |
| Timeline |