Sp500 Vix Futures Index Market Value
| SPVIXETR | 20,759 1,085 4.97% |
| Symbol | SP500 |
SP500 VIX '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 SP500 VIX'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 SP500 VIX.
| 02/03/2025 |
| 03/05/2025 |
If you would invest 0.00 in SP500 VIX on February 3, 2025 and sell it all today you would earn a total of 0.00 from holding SP500 VIX Futures or generate 0.0% return on investment in SP500 VIX over 30 days.
SP500 VIX 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 SP500 VIX'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 SP500 VIX Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.77 | |||
| Information Ratio | 0.0632 | |||
| Maximum Drawdown | 17.96 | |||
| Value At Risk | (4.51) | |||
| Potential Upside | 4.14 |
SP500 VIX Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for SP500 VIX's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as SP500 VIX's standard deviation. In reality, there are many statistical measures that can use SP500 VIX historical prices to predict the future SP500 VIX's volatility.| Risk Adjusted Performance | 0.0312 | |||
| Total Risk Alpha | 0.3527 | |||
| Sortino Ratio | 0.0565 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of SP500 VIX'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.
SP500 VIX Futures Backtested Returns
SP500 VIX Futures retains Efficiency (Sharpe Ratio) of 0.0434, which indicates the index had a 0.0434 % return per unit of risk over the last 3 months. We have found twenty-six technical indicators for SP500 VIX, which you can use to evaluate the volatility of the index. The entity owns a Beta (Systematic Risk) of 0.0, which indicates not very significant fluctuations relative to the market. the returns on MARKET and SP500 VIX are completely uncorrelated.
Auto-correlation | -0.09 |
Very weak reverse predictability
SP500 VIX Futures has very weak reverse predictability. Overlapping area represents the amount of predictability between SP500 VIX time series from 3rd of February 2025 to 18th of February 2025 and 18th of February 2025 to 5th 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 SP500 VIX Futures price movement. The serial correlation of -0.09 indicates that less than 9.0% of current SP500 VIX price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.09 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 270.9 K |
SP500 VIX Futures lagged returns against current returns
Autocorrelation, which is SP500 VIX 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 SP500 VIX's index expected returns. We can calculate the autocorrelation of SP500 VIX returns to help us make a trade decision. For example, suppose you find that SP500 VIX 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 |
SP500 VIX 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 SP500 VIX index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if SP500 VIX index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in SP500 VIX index over time.
Current vs Lagged Prices |
| Timeline |
SP500 VIX Lagged Returns
When evaluating SP500 VIX's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of SP500 VIX index have on its future price. SP500 VIX 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, SP500 VIX autocorrelation shows the relationship between SP500 VIX index current value and its past values and can show if there is a momentum factor associated with investing in SP500 VIX Futures.
Regressed Prices |
| Timeline |