Ishares Canadian Value Etf Market Value
| XCV Etf | CAD 40.12 0.24 0.60% |
| Symbol | IShares |
IShares Canadian '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 Canadian'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 Canadian.
| 05/31/2024 |
| 11/27/2024 |
If you would invest 0.00 in IShares Canadian on May 31, 2024 and sell it all today you would earn a total of 0.00 from holding iShares Canadian Value or generate 0.0% return on investment in IShares Canadian over 180 days. IShares Canadian is related to or competes with IShares Canadian, IShares Canadian, IShares SPTSX, IShares SPTSX, and IShares Jantzi. The investment seeks to replicate the performance, net of expenses, of the Dow Jones Canada Select Value Index More
IShares Canadian 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 Canadian'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 Canadian Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5083 | |||
| Information Ratio | 0.0074 | |||
| Maximum Drawdown | 2.29 | |||
| Value At Risk | (0.76) | |||
| Potential Upside | 1.02 |
IShares Canadian Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Canadian's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Canadian's standard deviation. In reality, there are many statistical measures that can use IShares Canadian historical prices to predict the future IShares Canadian's volatility.| Risk Adjusted Performance | 0.1786 | |||
| Jensen Alpha | 0.1023 | |||
| Total Risk Alpha | 0.0356 | |||
| Sortino Ratio | 0.0082 | |||
| Treynor Ratio | 0.6728 |
iShares Canadian Value Backtested Returns
As of now, IShares Etf is very steady. iShares Canadian Value holds Efficiency (Sharpe) Ratio of 0.24, which attests that the entity had a 0.24% return per unit of risk over the last 3 months. We have found thirty technical indicators for iShares Canadian Value, which you can use to evaluate the volatility of the entity. Please check out IShares Canadian's Risk Adjusted Performance of 0.1786, downside deviation of 0.5083, and Market Risk Adjusted Performance of 0.6828 to validate if the risk estimate we provide is consistent with the expected return of 0.13%. The etf retains a Market Volatility (i.e., Beta) of 0.19, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IShares Canadian's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares Canadian is expected to be smaller as well.
Auto-correlation | 0.80 |
Very good predictability
iShares Canadian Value has very good predictability. Overlapping area represents the amount of predictability between IShares Canadian time series from 31st of May 2024 to 29th of August 2024 and 29th of August 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 iShares Canadian Value price movement. The serial correlation of 0.8 indicates that around 80.0% of current IShares Canadian price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 1.15 |
iShares Canadian Value lagged returns against current returns
Autocorrelation, which is IShares Canadian 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 Canadian's etf expected returns. We can calculate the autocorrelation of IShares Canadian returns to help us make a trade decision. For example, suppose you find that IShares Canadian 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 Canadian 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 Canadian etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Canadian etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Canadian etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Canadian Lagged Returns
When evaluating IShares Canadian's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Canadian etf have on its future price. IShares Canadian 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 Canadian autocorrelation shows the relationship between IShares Canadian etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Canadian Value.
Regressed Prices |
| Timeline |
Pair Trading with IShares Canadian
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 Canadian 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 Canadian will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.98 | XIU | iShares SPTSX 60 | PairCorr |
| 0.99 | XIC | iShares Core SPTSX | PairCorr |
| 0.99 | ZCN | BMO SPTSX Capped | PairCorr |
| 0.97 | VCN | Vanguard FTSE Canada | PairCorr |
| 0.98 | HXT | Global X SPTSX | PairCorr |
Moving against IShares Etf
| 0.99 | HXD | BetaPro SPTSX 60 | PairCorr |
| 0.92 | HIU | BetaPro SP 500 | PairCorr |
| 0.9 | HQD | BetaPro NASDAQ 100 | PairCorr |
| 0.55 | HED | BetaPro SPTSX Capped | PairCorr |
| 0.45 | HUN | Global X Natural | PairCorr |
The ability to find closely correlated positions to IShares Canadian 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 Canadian 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 Canadian - 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 Canadian Value to buy it.
The correlation of IShares Canadian 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 Canadian moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Canadian Value 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 Canadian 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.Other Information on Investing in IShares Etf
IShares Canadian financial ratios help investors to determine whether IShares 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 IShares with respect to the benefits of owning IShares Canadian security.