Sparindex INDEX (Denmark) Market Value
| SPVBEUKL | 124.30 0.05 0.04% |
| Symbol | Sparindex |
Sparindex 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 Sparindex INDEX's stock 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 Sparindex INDEX.
| 11/05/2024 |
| 01/04/2025 |
If you would invest 0.00 in Sparindex INDEX on November 5, 2024 and sell it all today you would earn a total of 0.00 from holding Sparindex INDEX Bredygtige or generate 0.0% return on investment in Sparindex INDEX over 60 days.
Sparindex 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 Sparindex INDEX's stock 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 Sparindex INDEX Bredygtige upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 3.75 | |||
| Value At Risk | (0.88) | |||
| Potential Upside | 1.29 |
Sparindex INDEX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sparindex INDEX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sparindex INDEX's standard deviation. In reality, there are many statistical measures that can use Sparindex INDEX historical prices to predict the future Sparindex INDEX's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.1) | |||
| Treynor Ratio | (8.45) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sparindex 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.
Sparindex INDEX Bred Backtested Returns
Sparindex INDEX Bred owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0734, which indicates the firm had a -0.0734% return per unit of risk over the last 3 months. Sparindex INDEX Bredygtige exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sparindex INDEX's Coefficient Of Variation of (972.40), risk adjusted performance of (0.08), and Variance of 0.5493 to confirm the risk estimate we provide. The entity has a beta of 0.0102, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sparindex INDEX's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sparindex INDEX is expected to be smaller as well. At this point, Sparindex INDEX Bred has a negative expected return of -0.0555%. Please make sure to validate Sparindex INDEX's skewness, day typical price, and the relationship between the maximum drawdown and daily balance of power , to decide if Sparindex INDEX Bred performance from the past will be repeated at some point in the near future.
Auto-correlation | 0.06 |
Virtually no predictability
Sparindex INDEX Bredygtige has virtually no predictability. Overlapping area represents the amount of predictability between Sparindex INDEX time series from 5th of November 2024 to 5th of December 2024 and 5th of December 2024 to 4th 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 Sparindex INDEX Bred price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Sparindex INDEX price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 3.7 |
Sparindex INDEX Bred lagged returns against current returns
Autocorrelation, which is Sparindex INDEX stock'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 Sparindex INDEX's stock expected returns. We can calculate the autocorrelation of Sparindex INDEX returns to help us make a trade decision. For example, suppose you find that Sparindex INDEX has exhibited high autocorrelation historically, and you observe that the stock 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 |
Sparindex 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 Sparindex INDEX stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sparindex INDEX stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sparindex INDEX stock over time.
Current vs Lagged Prices |
| Timeline |
Sparindex INDEX Lagged Returns
When evaluating Sparindex INDEX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sparindex INDEX stock have on its future price. Sparindex 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, Sparindex INDEX autocorrelation shows the relationship between Sparindex INDEX stock current value and its past values and can show if there is a momentum factor associated with investing in Sparindex INDEX Bredygtige.
Regressed Prices |
| Timeline |
Pair Trading with Sparindex 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 Sparindex 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 Sparindex INDEX will appreciate offsetting losses from the drop in the long position's value.Moving together with Sparindex Stock
Moving against Sparindex Stock
The ability to find closely correlated positions to Sparindex 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 Sparindex 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 Sparindex 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 Sparindex INDEX Bredygtige to buy it.
The correlation of Sparindex 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 Sparindex INDEX moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sparindex INDEX Bred 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 Sparindex 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.