Mackenzie Government Long Etf Market Value
| QTLT Etf | 101.87 0.26 0.25% |
| Symbol | Mackenzie |
Mackenzie 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 Mackenzie 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 Mackenzie Government.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Mackenzie Government on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Mackenzie Government Long or generate 0.0% return on investment in Mackenzie Government over 30 days.
Mackenzie 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 Mackenzie 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 Mackenzie Government Long upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 3.92 | |||
| Value At Risk | (1.02) | |||
| Potential Upside | 1.0 |
Mackenzie Government Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mackenzie Government's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mackenzie Government's standard deviation. In reality, there are many statistical measures that can use Mackenzie Government historical prices to predict the future Mackenzie Government's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | (1.32) |
Mackenzie Government Long Backtested Returns
Mackenzie Government Long has Sharpe Ratio of -0.0758, which conveys that the entity had a -0.0758% return per unit of risk over the last 3 months. Mackenzie Government exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mackenzie Government's Risk Adjusted Performance of (0.09), standard deviation of 0.6612, and Mean Deviation of 0.4788 to check out the risk estimate we provide. The etf secures a Beta (Market Risk) of 0.0653, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mackenzie Government's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mackenzie Government is expected to be smaller as well.
Auto-correlation | 0.56 |
Modest predictability
Mackenzie Government Long has modest predictability. Overlapping area represents the amount of predictability between Mackenzie Government time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Mackenzie Government Long price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Mackenzie Government price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Mackenzie Government Long lagged returns against current returns
Autocorrelation, which is Mackenzie 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 Mackenzie Government's etf expected returns. We can calculate the autocorrelation of Mackenzie Government returns to help us make a trade decision. For example, suppose you find that Mackenzie 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 |
Mackenzie 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 Mackenzie Government etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mackenzie Government etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mackenzie Government etf over time.
Current vs Lagged Prices |
| Timeline |
Mackenzie Government Lagged Returns
When evaluating Mackenzie Government's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mackenzie Government etf have on its future price. Mackenzie 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, Mackenzie Government autocorrelation shows the relationship between Mackenzie Government etf current value and its past values and can show if there is a momentum factor associated with investing in Mackenzie Government Long.
Regressed Prices |
| Timeline |
Pair Trading with Mackenzie Government
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Mackenzie Government position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mackenzie Government will appreciate offsetting losses from the drop in the long position's value.Moving together with Mackenzie Etf
Moving against Mackenzie Etf
| 0.8 | ZSP | BMO SP 500 | PairCorr |
| 0.79 | VFV | Vanguard SP 500 | PairCorr |
| 0.74 | XIC | iShares Core SPTSX | PairCorr |
| 0.74 | ZCN | BMO SPTSX Capped | PairCorr |
| 0.73 | XIU | iShares SPTSX 60 | PairCorr |
The ability to find closely correlated positions to Mackenzie Government could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mackenzie Government when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Mackenzie Government - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Mackenzie Government Long to buy it.
The correlation of Mackenzie Government is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Mackenzie Government moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mackenzie Government Long moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Mackenzie Government can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.