Ishares Esg Advanced Etf Market Value
| XCSR Etf | CAD 77.38 0.49 0.64% |
| Symbol | IShares |
IShares ESG '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 ESG'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 ESG.
| 11/06/2023 |
| 11/30/2024 |
If you would invest 0.00 in IShares ESG on November 6, 2023 and sell it all today you would earn a total of 0.00 from holding iShares ESG Advanced or generate 0.0% return on investment in IShares ESG over 390 days. IShares ESG is related to or competes with IShares SPTSX, IShares Core, Vanguard FTSE, Global X, Mackenzie Canadian, First Asset, and TD Canadian. ISHARES ESG is traded on Toronto Stock Exchange in Canada. More
IShares ESG 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 ESG'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 ESG Advanced upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5646 | |||
| Information Ratio | 0.1245 | |||
| Maximum Drawdown | 2.85 | |||
| Value At Risk | (0.57) | |||
| Potential Upside | 1.27 |
IShares ESG Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares ESG's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares ESG's standard deviation. In reality, there are many statistical measures that can use IShares ESG historical prices to predict the future IShares ESG's volatility.| Risk Adjusted Performance | 0.2714 | |||
| Jensen Alpha | 0.1471 | |||
| Total Risk Alpha | 0.1027 | |||
| Sortino Ratio | 0.1294 | |||
| Treynor Ratio | 0.4778 |
iShares ESG Advanced Backtested Returns
IShares ESG appears to be very steady, given 3 months investment horizon. iShares ESG Advanced holds Efficiency (Sharpe) Ratio of 0.38, which attests that the entity had a 0.38% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares ESG Advanced, which you can use to evaluate the volatility of the entity. Please utilize IShares ESG's Risk Adjusted Performance of 0.2714, market risk adjusted performance of 0.4878, and Coefficient Of Variation of 278.56 to validate if our risk estimates are consistent with your expectations. The etf retains a Market Volatility (i.e., Beta) of 0.42, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, IShares ESG's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares ESG is expected to be smaller as well.
Auto-correlation | 0.85 |
Very good predictability
iShares ESG Advanced has very good predictability. Overlapping area represents the amount of predictability between IShares ESG time series from 6th of November 2023 to 19th of May 2024 and 19th of May 2024 to 30th 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 ESG Advanced price movement. The serial correlation of 0.85 indicates that around 85.0% of current IShares ESG price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.85 | |
| Spearman Rank Test | 0.91 | |
| Residual Average | 0.0 | |
| Price Variance | 20.17 |
iShares ESG Advanced lagged returns against current returns
Autocorrelation, which is IShares ESG 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 ESG's etf expected returns. We can calculate the autocorrelation of IShares ESG returns to help us make a trade decision. For example, suppose you find that IShares ESG 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 ESG 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 ESG etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares ESG etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares ESG etf over time.
Current vs Lagged Prices |
| Timeline |
IShares ESG Lagged Returns
When evaluating IShares ESG's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares ESG etf have on its future price. IShares ESG 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 ESG autocorrelation shows the relationship between IShares ESG etf current value and its past values and can show if there is a momentum factor associated with investing in iShares ESG Advanced.
Regressed Prices |
| Timeline |
Pair Trading with IShares ESG
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 IShares ESG 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 IShares ESG will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.99 | XIU | iShares SPTSX 60 | PairCorr |
| 0.99 | XIC | iShares Core SPTSX | PairCorr |
| 0.99 | ZCN | BMO SPTSX Capped | PairCorr |
| 0.99 | VCN | Vanguard FTSE Canada | PairCorr |
| 0.99 | HXT | Global X SPTSX | PairCorr |
The ability to find closely correlated positions to IShares ESG could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace IShares ESG 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 IShares ESG - 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 iShares ESG Advanced to buy it.
The correlation of IShares ESG 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 IShares ESG moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares ESG Advanced 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 IShares ESG 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.Check out IShares ESG Correlation, IShares ESG Volatility and IShares ESG Alpha and Beta module to complement your research on IShares ESG. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
IShares ESG 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.