Ishares Sp Mid Cap Etf Market Value
| XMC Etf | CAD 36.29 0.23 0.63% |
| Symbol | IShares |
IShares SP '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 SP'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 SP.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in IShares SP on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding iShares SP Mid Cap or generate 0.0% return on investment in IShares SP over 720 days. IShares SP is related to or competes with IShares SPTSX, IShares MSCI, IShares Canadian, PHN Multi, Altagas Cum, and EcoSynthetix. The investment seeks to replicate, net of expenses, the performance of theSP MidCap 400 Index More
IShares SP 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 SP'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 SP Mid Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7369 | |||
| Information Ratio | 0.0719 | |||
| Maximum Drawdown | 5.82 | |||
| Value At Risk | (1.00) | |||
| Potential Upside | 1.79 |
IShares SP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares SP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares SP's standard deviation. In reality, there are many statistical measures that can use IShares SP historical prices to predict the future IShares SP's volatility.| Risk Adjusted Performance | 0.1584 | |||
| Jensen Alpha | 0.0994 | |||
| Total Risk Alpha | 0.0361 | |||
| Sortino Ratio | 0.0962 | |||
| Treynor Ratio | 0.2506 |
iShares SP Mid Backtested Returns
IShares SP appears to be very steady, given 3 months investment horizon. iShares SP Mid 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. We have found twenty-nine technical indicators for iShares SP Mid, which you can use to evaluate the volatility of the entity. Please utilize IShares SP's Risk Adjusted Performance of 0.1584, market risk adjusted performance of 0.2606, and Downside Deviation of 0.7369 to validate if our risk estimates are consistent with your expectations. The etf retains a Market Volatility (i.e., Beta) of 0.76, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, IShares SP's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares SP is expected to be smaller as well.
Auto-correlation | 0.11 |
Insignificant predictability
iShares SP Mid Cap has insignificant predictability. Overlapping area represents the amount of predictability between IShares SP time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 SP Mid price movement. The serial correlation of 0.11 indicates that less than 11.0% of current IShares SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.11 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 3.89 |
iShares SP Mid lagged returns against current returns
Autocorrelation, which is IShares SP 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 SP's etf expected returns. We can calculate the autocorrelation of IShares SP returns to help us make a trade decision. For example, suppose you find that IShares SP 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 SP 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 SP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares SP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares SP etf over time.
Current vs Lagged Prices |
| Timeline |
IShares SP Lagged Returns
When evaluating IShares SP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares SP etf have on its future price. IShares SP 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 SP autocorrelation shows the relationship between IShares SP etf current value and its past values and can show if there is a momentum factor associated with investing in iShares SP Mid Cap.
Regressed Prices |
| Timeline |
Pair Trading with IShares SP
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 SP 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 SP will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.95 | XSU | iShares Small Cap | PairCorr |
| 0.97 | XMH | iShares SP Mid | PairCorr |
| 0.96 | UMI | CI MidCap Dividend | PairCorr |
| 0.93 | MUMC | Manulife Multifactor Mid | PairCorr |
Moving against IShares Etf
| 0.94 | HIU | BetaPro SP 500 | PairCorr |
| 0.93 | HXD | BetaPro SPTSX 60 | PairCorr |
| 0.91 | HQD | BetaPro NASDAQ 100 | PairCorr |
| 0.58 | HED | BetaPro SPTSX Capped | PairCorr |
| 0.48 | HUN | Global X Natural | PairCorr |
The ability to find closely correlated positions to IShares SP 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 SP 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 SP - 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 SP Mid Cap to buy it.
The correlation of IShares SP 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 SP moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares SP Mid 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 SP 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 SP Correlation, IShares SP Volatility and IShares SP Alpha and Beta module to complement your research on IShares SP. You can also try the Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
IShares SP 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.