Ishares Floating Rate Etf Market Value
| XFR Etf | CAD 20.02 0.01 0.05% |
| Symbol | IShares |
IShares Floating '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 Floating'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 Floating.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in IShares Floating on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding iShares Floating Rate or generate 0.0% return on investment in IShares Floating over 30 days. IShares Floating is related to or competes with Mackenzie Canadian, Mackenzie Core, Mackenzie Investment, and Mackenzie Core. The investment seeks to replicate the performance, net of expenses, of the FTSE TMX Canada FRN Index More
IShares Floating 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 Floating'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 Floating Rate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.0549 | |||
| Information Ratio | (3.24) | |||
| Maximum Drawdown | 0.1511 | |||
| Value At Risk | (0.05) | |||
| Potential Upside | 0.0505 |
IShares Floating Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Floating's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Floating's standard deviation. In reality, there are many statistical measures that can use IShares Floating historical prices to predict the future IShares Floating's volatility.| Risk Adjusted Performance | 0.1397 | |||
| Jensen Alpha | 0.0061 | |||
| Total Risk Alpha | 4.0E-4 | |||
| Sortino Ratio | (2.09) | |||
| Treynor Ratio | (4.99) |
iShares Floating Rate Backtested Returns
As of now, IShares Etf is very steady. iShares Floating Rate holds Efficiency (Sharpe) Ratio of 0.46, which attests that the entity had a 0.46% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares Floating Rate, which you can use to evaluate the volatility of the entity. Please check out IShares Floating's Market Risk Adjusted Performance of (4.98), coefficient of variation of 221.45, and Risk Adjusted Performance of 0.1397 to validate if the risk estimate we provide is consistent with the expected return of 0.0154%. The etf retains a Market Volatility (i.e., Beta) of -0.0012, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning IShares Floating are expected to decrease at a much lower rate. During the bear market, IShares Floating is likely to outperform the market.
Auto-correlation | 0.31 |
Below average predictability
iShares Floating Rate has below average predictability. Overlapping area represents the amount of predictability between IShares Floating time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th 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 Floating Rate price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current IShares Floating price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
iShares Floating Rate lagged returns against current returns
Autocorrelation, which is IShares Floating 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 Floating's etf expected returns. We can calculate the autocorrelation of IShares Floating returns to help us make a trade decision. For example, suppose you find that IShares Floating 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 Floating 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 Floating etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Floating etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Floating etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Floating Lagged Returns
When evaluating IShares Floating's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Floating etf have on its future price. IShares Floating 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 Floating autocorrelation shows the relationship between IShares Floating etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Floating Rate.
Regressed Prices |
| Timeline |
Pair Trading with IShares Floating
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 Floating 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 Floating will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.76 | XSH | iShares Core Canadian | PairCorr |
| 0.77 | ZCS | BMO Short Corporate | PairCorr |
| 0.99 | ZST | BMO Ultra Short | PairCorr |
Moving against IShares Etf
| 0.95 | HXD | BetaPro SPTSX 60 | PairCorr |
| 0.85 | HIU | BetaPro SP 500 | PairCorr |
| 0.82 | HQD | BetaPro NASDAQ 100 | PairCorr |
| 0.39 | HED | BetaPro SPTSX Capped | PairCorr |
The ability to find closely correlated positions to IShares Floating 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 Floating 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 Floating - 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 Floating Rate to buy it.
The correlation of IShares Floating 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 Floating moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Floating Rate 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 Floating 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 Floating Correlation, IShares Floating Volatility and IShares Floating Alpha and Beta module to complement your research on IShares Floating. You can also try the Earnings Calls module to check upcoming earnings announcements updated hourly across public exchanges.
IShares Floating 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.