Sparinvest Value (Denmark) Market Value
| SPIVEMKLA | DKK 141.60 0.05 0.04% |
| Symbol | Sparinvest |
Please note, there is a significant difference between Sparinvest Value's value and its price as these two are different measures arrived at by different means. Investors typically determine if Sparinvest Value is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Sparinvest Value'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 Value '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 Value'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 Value.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Sparinvest Value on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Sparinvest Value Emerging or generate 0.0% return on investment in Sparinvest Value over 30 days. More
Sparinvest Value 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 Value'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 Value Emerging upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.21 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 6.22 | |||
| Value At Risk | (1.82) | |||
| Potential Upside | 1.76 |
Sparinvest Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparinvest Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparinvest Value's standard deviation. In reality, there are many statistical measures that can use Sparinvest Value historical prices to predict the future Sparinvest Value's volatility.| Risk Adjusted Performance | 0.0272 | |||
| Jensen Alpha | 0.0436 | |||
| Total Risk Alpha | (0.17) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | (0.20) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sparinvest Value'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 Value Emerging Backtested Returns
As of now, Sparinvest Fund is very steady. Sparinvest Value Emerging owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.052, which indicates the fund had a 0.052% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Sparinvest Value Emerging, which you can use to evaluate the volatility of the fund. Please validate Sparinvest Value's Semi Deviation of 0.9768, risk adjusted performance of 0.0272, and Coefficient Of Variation of 3220.7 to confirm if the risk estimate we provide is consistent with the expected return of 0.0602%. The entity has a beta of -0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sparinvest Value are expected to decrease at a much lower rate. During the bear market, Sparinvest Value is likely to outperform the market.
Auto-correlation | 0.58 |
Modest predictability
Sparinvest Value Emerging has modest predictability. Overlapping area represents the amount of predictability between Sparinvest Value time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 Value Emerging price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Sparinvest Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 1.64 |
Sparinvest Value Emerging lagged returns against current returns
Autocorrelation, which is Sparinvest Value 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 Value's fund expected returns. We can calculate the autocorrelation of Sparinvest Value returns to help us make a trade decision. For example, suppose you find that Sparinvest Value 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 Value 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 Value fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparinvest Value fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparinvest Value fund over time.
Current vs Lagged Prices |
| Timeline |
Sparinvest Value Lagged Returns
When evaluating Sparinvest Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparinvest Value fund have on its future price. Sparinvest Value 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 Value autocorrelation shows the relationship between Sparinvest Value fund current value and its past values and can show if there is a momentum factor associated with investing in Sparinvest Value Emerging.
Regressed Prices |
| Timeline |
Pair Trading with Sparinvest Value
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 Value 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 Value will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to Sparinvest Value 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 Value 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 Value - 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 Value Emerging to buy it.
The correlation of Sparinvest Value 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 Value moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sparinvest Value Emerging 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 Value 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 Value 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 Value security.
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