Itau Total (Brazil) Market Value
| ITRI11 Fund | 79.97 0.01 0.01% |
| Symbol | Itau |
Itau Total '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 Itau Total's fund 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 Itau Total.
| 09/02/2024 |
| 12/01/2024 |
If you would invest 0.00 in Itau Total on September 2, 2024 and sell it all today you would earn a total of 0.00 from holding Itau Total Return or generate 0.0% return on investment in Itau Total over 90 days.
Itau Total 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 Itau Total's fund 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 Itau Total Return upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.37) | |||
| Maximum Drawdown | 3.97 | |||
| Value At Risk | (1.66) | |||
| Potential Upside | 1.38 |
Itau Total Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Itau Total's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Itau Total's standard deviation. In reality, there are many statistical measures that can use Itau Total historical prices to predict the future Itau Total's volatility.| Risk Adjusted Performance | (0.15) | |||
| Jensen Alpha | (0.14) | |||
| Total Risk Alpha | (0.31) | |||
| Treynor Ratio | 0.6813 |
Itau Total Return Backtested Returns
Itau Total Return holds Efficiency (Sharpe) Ratio of -0.21, which attests that the entity had a -0.21% return per unit of risk over the last 3 months. Itau Total Return exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Itau Total's Market Risk Adjusted Performance of 0.6913, risk adjusted performance of (0.15), and Standard Deviation of 0.8189 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of -0.26, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Itau Total are expected to decrease at a much lower rate. During the bear market, Itau Total is likely to outperform the market.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Itau Total Return has insignificant reverse predictability. Overlapping area represents the amount of predictability between Itau Total time series from 2nd of September 2024 to 17th of October 2024 and 17th of October 2024 to 1st of December 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 Itau Total Return price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Itau Total price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 0.47 |
Itau Total Return lagged returns against current returns
Autocorrelation, which is Itau Total fund'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 Itau Total's fund expected returns. We can calculate the autocorrelation of Itau Total returns to help us make a trade decision. For example, suppose you find that Itau Total has exhibited high autocorrelation historically, and you observe that the fund 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 |
Itau Total 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 Itau Total fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Itau Total fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Itau Total fund over time.
Current vs Lagged Prices |
| Timeline |
Itau Total Lagged Returns
When evaluating Itau Total's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Itau Total fund have on its future price. Itau Total 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, Itau Total autocorrelation shows the relationship between Itau Total fund current value and its past values and can show if there is a momentum factor associated with investing in Itau Total Return.
Regressed Prices |
| Timeline |
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