Sofr Etf Market Value
| SOFR Etf | 100.19 0.01 0.01% |
| Symbol | SOFR |
The market value of SOFR is measured differently than its book value, which is the value of SOFR that is recorded on the company's balance sheet. Investors also form their own opinion of SOFR's value that differs from its market value or its book value, called intrinsic value, which is SOFR's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because SOFR's market value can be influenced by many factors that don't directly affect SOFR's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between SOFR's value and its price as these two are different measures arrived at by different means. Investors typically determine if SOFR is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, SOFR's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
SOFR '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 SOFR'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 SOFR.
| 11/30/2024 |
| 12/30/2024 |
If you would invest 0.00 in SOFR on November 30, 2024 and sell it all today you would earn a total of 0.00 from holding SOFR or generate 0.0% return on investment in SOFR over 30 days. SOFR is related to or competes with Valued Advisers, Columbia Diversified, Principal Exchange, Doubleline Etf, Virtus Newfleet, Vident Core, and PIMCO Enhanced. More
SOFR 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 SOFR'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 SOFR upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1258 | |||
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 0.5498 | |||
| Value At Risk | (0.04) | |||
| Potential Upside | 0.0707 |
SOFR Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SOFR's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SOFR's standard deviation. In reality, there are many statistical measures that can use SOFR historical prices to predict the future SOFR's volatility.| Risk Adjusted Performance | 0.0895 | |||
| Jensen Alpha | 0.0083 | |||
| Total Risk Alpha | 0.0058 | |||
| Sortino Ratio | (0.11) | |||
| Treynor Ratio | (0.58) |
SOFR Backtested Returns
Currently, SOFR is very steady. SOFR owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.22, which indicates the etf had a 0.22% return per unit of volatility over the last 3 months. We have found twenty-eight technical indicators for SOFR, which you can use to evaluate the volatility of the etf. Please validate SOFR's risk adjusted performance of 0.0895, and Standard Deviation of 0.0801 to confirm if the risk estimate we provide is consistent with the expected return of 0.0178%. The entity has a beta of -0.0137, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning SOFR are expected to decrease at a much lower rate. During the bear market, SOFR is likely to outperform the market.
Auto-correlation | 0.33 |
Below average predictability
SOFR has below average predictability. Overlapping area represents the amount of predictability between SOFR time series from 30th of November 2024 to 15th of December 2024 and 15th of December 2024 to 30th 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 SOFR price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current SOFR price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
SOFR lagged returns against current returns
Autocorrelation, which is SOFR 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 SOFR's etf expected returns. We can calculate the autocorrelation of SOFR returns to help us make a trade decision. For example, suppose you find that SOFR 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 |
SOFR 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 SOFR etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SOFR etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SOFR etf over time.
Current vs Lagged Prices |
| Timeline |
SOFR Lagged Returns
When evaluating SOFR's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SOFR etf have on its future price. SOFR 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, SOFR autocorrelation shows the relationship between SOFR etf current value and its past values and can show if there is a momentum factor associated with investing in SOFR.
Regressed Prices |
| Timeline |
Pair Trading with SOFR
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 SOFR 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 SOFR will appreciate offsetting losses from the drop in the long position's value.Moving together with SOFR Etf
| 0.84 | VTI | Vanguard Total Stock | PairCorr |
| 0.85 | SPY | SPDR SP 500 Aggressive Push | PairCorr |
| 0.84 | IVV | iShares Core SP | PairCorr |
Moving against SOFR Etf
| 0.8 | VEA | Vanguard FTSE Developed | PairCorr |
| 0.75 | VWO | Vanguard FTSE Emerging | PairCorr |
| 0.58 | BND | Vanguard Total Bond Sell-off Trend | PairCorr |
| 0.44 | PMBS | PIMCO Mortgage Backed | PairCorr |
| 0.32 | AMPD | Tidal Trust II | PairCorr |
The ability to find closely correlated positions to SOFR could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace SOFR 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 SOFR - 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 SOFR to buy it.
The correlation of SOFR 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 SOFR moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if SOFR 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 SOFR 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 SOFR Etf
SOFR financial ratios help investors to determine whether SOFR 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 SOFR with respect to the benefits of owning SOFR security.