Sparinvest INDEX (Denmark) Market Value
| SPIEUVKL | DKK 122.85 0.17 0.14% |
| Symbol | Sparinvest |
Please note, there is a significant difference between Sparinvest INDEX's value and its price as these two are different measures arrived at by different means. Investors typically determine if Sparinvest INDEX is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Sparinvest INDEX'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.
Sparinvest INDEX '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 Sparinvest INDEX's fund 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 Sparinvest INDEX.
| 07/20/2023 |
| 12/11/2024 |
If you would invest 0.00 in Sparinvest INDEX on July 20, 2023 and sell it all today you would earn a total of 0.00 from holding Sparinvest INDEX Europa or generate 0.0% return on investment in Sparinvest INDEX over 510 days. More
Sparinvest INDEX 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 Sparinvest INDEX's fund 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 Sparinvest INDEX Europa upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7063 | |||
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 3.32 | |||
| Value At Risk | (1.03) | |||
| Potential Upside | 0.9562 |
Sparinvest INDEX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparinvest INDEX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparinvest INDEX's standard deviation. In reality, there are many statistical measures that can use Sparinvest INDEX historical prices to predict the future Sparinvest INDEX's volatility.| Risk Adjusted Performance | 0.0403 | |||
| Jensen Alpha | 0.0212 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.6016 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sparinvest INDEX'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.
Sparinvest INDEX Europa Backtested Returns
As of now, Sparinvest Fund is very steady. Sparinvest INDEX Europa owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0501, which indicates the fund had a 0.0501% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sparinvest INDEX Europa, which you can use to evaluate the volatility of the fund. Please validate Sparinvest INDEX's Semi Deviation of 0.6284, risk adjusted performance of 0.0403, and Coefficient Of Variation of 1723.33 to confirm if the risk estimate we provide is consistent with the expected return of 0.0313%. The entity has a beta of 0.0436, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sparinvest INDEX's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sparinvest INDEX is expected to be smaller as well.
Auto-correlation | 0.30 |
Below average predictability
Sparinvest INDEX Europa has below average predictability. Overlapping area represents the amount of predictability between Sparinvest INDEX time series from 20th of July 2023 to 31st of March 2024 and 31st of March 2024 to 11th 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 Sparinvest INDEX Europa price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Sparinvest INDEX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.3 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 8.33 |
Sparinvest INDEX Europa lagged returns against current returns
Autocorrelation, which is Sparinvest INDEX fund'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 Sparinvest INDEX's fund expected returns. We can calculate the autocorrelation of Sparinvest INDEX returns to help us make a trade decision. For example, suppose you find that Sparinvest INDEX has exhibited high autocorrelation historically, and you observe that the fund 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 |
Sparinvest INDEX 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 Sparinvest INDEX fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparinvest INDEX fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparinvest INDEX fund over time.
Current vs Lagged Prices |
| Timeline |
Sparinvest INDEX Lagged Returns
When evaluating Sparinvest INDEX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparinvest INDEX fund have on its future price. Sparinvest INDEX 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, Sparinvest INDEX autocorrelation shows the relationship between Sparinvest INDEX fund current value and its past values and can show if there is a momentum factor associated with investing in Sparinvest INDEX Europa.
Regressed Prices |
| Timeline |
Pair Trading with Sparinvest INDEX
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 Sparinvest INDEX 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 Sparinvest INDEX will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Sparinvest INDEX could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sparinvest INDEX 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 Sparinvest INDEX - 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 Sparinvest INDEX Europa to buy it.
The correlation of Sparinvest INDEX 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 Sparinvest INDEX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sparinvest INDEX Europa 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 Sparinvest INDEX 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 Sparinvest Fund
Sparinvest INDEX financial ratios help investors to determine whether Sparinvest Fund 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 Sparinvest with respect to the benefits of owning Sparinvest INDEX security.
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