IShareso Government (Netherlands) Market Value
| IBGM Etf | EUR 191.30 0.86 0.45% |
| Symbol | IShareso |
IShareso Government '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 IShareso Government'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 IShareso Government.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in IShareso Government on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding iShareso Government Bond or generate 0.0% return on investment in IShareso Government over 30 days. IShareso Government is related to or competes with IShares II, IShares Core, and IShares SP. The fund is an exchange traded fund that aims to track the performance of the Barclays Euro Government Bond 10 Year Term... More
IShareso Government 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 IShareso Government'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 iShareso Government Bond upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3309 | |||
| Information Ratio | (0.33) | |||
| Maximum Drawdown | 1.58 | |||
| Value At Risk | (0.42) | |||
| Potential Upside | 0.5506 |
IShareso Government Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShareso Government's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShareso Government's standard deviation. In reality, there are many statistical measures that can use IShareso Government historical prices to predict the future IShareso Government's volatility.| Risk Adjusted Performance | 0.0396 | |||
| Jensen Alpha | 0.0109 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.31) | |||
| Treynor Ratio | 1.11 |
iShareso Government Bond Backtested Returns
Currently, iShareso Government Bond is very steady. iShareso Government Bond holds Efficiency (Sharpe) Ratio of 0.11, which attests that the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShareso Government Bond, which you can use to evaluate the volatility of the entity. Please check out IShareso Government's Market Risk Adjusted Performance of 1.12, downside deviation of 0.3309, and Risk Adjusted Performance of 0.0396 to validate if the risk estimate we provide is consistent with the expected return of 0.034%. The etf retains a Market Volatility (i.e., Beta) of 0.011, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IShareso Government's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShareso Government is expected to be smaller as well.
Auto-correlation | 0.53 |
Modest predictability
iShareso Government Bond has modest predictability. Overlapping area represents the amount of predictability between IShareso Government time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 iShareso Government Bond price movement. The serial correlation of 0.53 indicates that about 53.0% of current IShareso Government price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.98 |
iShareso Government Bond lagged returns against current returns
Autocorrelation, which is IShareso Government 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 IShareso Government's etf expected returns. We can calculate the autocorrelation of IShareso Government returns to help us make a trade decision. For example, suppose you find that IShareso Government 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 |
IShareso Government 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 IShareso Government etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShareso Government etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShareso Government etf over time.
Current vs Lagged Prices |
| Timeline |
IShareso Government Lagged Returns
When evaluating IShareso Government's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShareso Government etf have on its future price. IShareso Government 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, IShareso Government autocorrelation shows the relationship between IShareso Government etf current value and its past values and can show if there is a momentum factor associated with investing in iShareso Government Bond.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in IShareso Etf
IShareso Government financial ratios help investors to determine whether IShareso Etf 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 IShareso with respect to the benefits of owning IShareso Government security.