Satrix Resi (South Africa) Market Value
| STXRES Etf | 6,101 32.00 0.53% |
| Symbol | Satrix |
Satrix Resi '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 Satrix Resi'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 Satrix Resi.
| 11/21/2024 |
| 01/20/2025 |
If you would invest 0.00 in Satrix Resi on November 21, 2024 and sell it all today you would earn a total of 0.00 from holding Satrix Resi ETF or generate 0.0% return on investment in Satrix Resi over 60 days.
Satrix Resi 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 Satrix Resi'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 Satrix Resi ETF upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.72 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 7.05 | |||
| Value At Risk | (2.95) | |||
| Potential Upside | 3.66 |
Satrix Resi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Satrix Resi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Satrix Resi's standard deviation. In reality, there are many statistical measures that can use Satrix Resi historical prices to predict the future Satrix Resi's volatility.| Risk Adjusted Performance | 0.0182 | |||
| Jensen Alpha | 0.0123 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.0664 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Satrix Resi'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.
Satrix Resi ETF Backtested Returns
Satrix Resi ETF owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0611, which indicates the etf had a -0.0611 % return per unit of risk over the last 3 months. Satrix Resi ETF exposes twenty-nine different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Satrix Resi's Coefficient Of Variation of 6485.78, semi deviation of 1.63, and Risk Adjusted Performance of 0.0182 to confirm the risk estimate we provide. The entity has a beta of 0.26, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Satrix Resi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Satrix Resi is expected to be smaller as well.
Auto-correlation | -0.22 |
Weak reverse predictability
Satrix Resi ETF has weak reverse predictability. Overlapping area represents the amount of predictability between Satrix Resi time series from 21st of November 2024 to 21st of December 2024 and 21st of December 2024 to 20th 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 Satrix Resi ETF price movement. The serial correlation of -0.22 indicates that over 22.0% of current Satrix Resi price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.07 | |
| Residual Average | 0.0 | |
| Price Variance | 61.6 K |
Satrix Resi ETF lagged returns against current returns
Autocorrelation, which is Satrix Resi 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 Satrix Resi's etf expected returns. We can calculate the autocorrelation of Satrix Resi returns to help us make a trade decision. For example, suppose you find that Satrix Resi 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 |
Satrix Resi 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 Satrix Resi etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Satrix Resi etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Satrix Resi etf over time.
Current vs Lagged Prices |
| Timeline |
Satrix Resi Lagged Returns
When evaluating Satrix Resi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Satrix Resi etf have on its future price. Satrix Resi 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, Satrix Resi autocorrelation shows the relationship between Satrix Resi etf current value and its past values and can show if there is a momentum factor associated with investing in Satrix Resi ETF.
Regressed Prices |
| Timeline |