Ishares Gsci Commodity Etf Market Value
| COMT Etf | USD 26.45 0.13 0.49% |
| Symbol | IShares |
The market value of iShares GSCI Commodity is measured differently than its book value, which is the value of IShares that is recorded on the company's balance sheet. Investors also form their own opinion of IShares GSCI's value that differs from its market value or its book value, called intrinsic value, which is IShares GSCI's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because IShares GSCI's market value can be influenced by many factors that don't directly affect IShares GSCI's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between IShares GSCI's value and its price as these two are different measures arrived at by different means. Investors typically determine if IShares GSCI is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, IShares GSCI'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.
IShares GSCI '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 IShares GSCI'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 IShares GSCI.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in IShares GSCI on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding iShares GSCI Commodity or generate 0.0% return on investment in IShares GSCI over 30 days. IShares GSCI is related to or competes with Invesco Optimum, First Trust, IShares ESG, IShares Fallen, and IShares Bloomberg. In seeking to achieve its investment objective, the fund may invest in a combination of exchange-traded commodity future... More
IShares GSCI 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 IShares GSCI'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 iShares GSCI Commodity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 4.74 | |||
| Value At Risk | (2.11) | |||
| Potential Upside | 1.77 |
IShares GSCI Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares GSCI's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares GSCI's standard deviation. In reality, there are many statistical measures that can use IShares GSCI historical prices to predict the future IShares GSCI's volatility.| Risk Adjusted Performance | 0.0331 | |||
| Jensen Alpha | 0.0368 | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (4.87) |
iShares GSCI Commodity Backtested Returns
Currently, iShares GSCI Commodity is very steady. iShares GSCI Commodity holds Efficiency (Sharpe) Ratio of 0.0013, which attests that the entity had a 0.0013% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares GSCI Commodity, which you can use to evaluate the volatility of the entity. Please check out IShares GSCI's Risk Adjusted Performance of 0.0331, downside deviation of 1.27, and Market Risk Adjusted Performance of (4.86) to validate if the risk estimate we provide is consistent with the expected return of 0.0015%. The etf retains a Market Volatility (i.e., Beta) of -0.0074, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning IShares GSCI are expected to decrease at a much lower rate. During the bear market, IShares GSCI is likely to outperform the market.
Auto-correlation | 0.62 |
Good predictability
iShares GSCI Commodity has good predictability. Overlapping area represents the amount of predictability between IShares GSCI time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd of November 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 iShares GSCI Commodity price movement. The serial correlation of 0.62 indicates that roughly 62.0% of current IShares GSCI price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.62 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
iShares GSCI Commodity lagged returns against current returns
Autocorrelation, which is IShares GSCI 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 IShares GSCI's etf expected returns. We can calculate the autocorrelation of IShares GSCI returns to help us make a trade decision. For example, suppose you find that IShares GSCI 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 |
IShares GSCI 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 IShares GSCI etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares GSCI etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares GSCI etf over time.
Current vs Lagged Prices |
| Timeline |
IShares GSCI Lagged Returns
When evaluating IShares GSCI's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares GSCI etf have on its future price. IShares GSCI 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, IShares GSCI autocorrelation shows the relationship between IShares GSCI etf current value and its past values and can show if there is a momentum factor associated with investing in iShares GSCI Commodity.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Check out IShares GSCI Correlation, IShares GSCI Volatility and IShares GSCI Alpha and Beta module to complement your research on IShares GSCI. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
IShares GSCI technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.