Ishares Small Cap Etf Market Value
| XSU Etf | CAD 46.74 0.01 0.02% |
| Symbol | IShares |
IShares Small '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 Small'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 Small.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in IShares Small on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding iShares Small Cap or generate 0.0% return on investment in IShares Small over 720 days. IShares Small 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 Russell 2000 Index Canadian Dollar Hedged More
IShares Small 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 Small'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 Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.16 | |||
| Information Ratio | 0.0093 | |||
| Maximum Drawdown | 7.82 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 2.07 |
IShares Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Small's standard deviation. In reality, there are many statistical measures that can use IShares Small historical prices to predict the future IShares Small's volatility.| Risk Adjusted Performance | 0.0862 | |||
| Jensen Alpha | 0.0258 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | 0.0107 | |||
| Treynor Ratio | 0.1494 |
iShares Small Cap Backtested Returns
As of now, IShares Etf is very steady. iShares Small Cap holds Efficiency (Sharpe) Ratio of 0.11, which attests that the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares Small Cap, which you can use to evaluate the volatility of the entity. Please check out IShares Small's Market Risk Adjusted Performance of 0.1594, risk adjusted performance of 0.0862, and Downside Deviation of 1.16 to validate if the risk estimate we provide is consistent with the expected return of 0.15%. The etf retains a Market Volatility (i.e., Beta) of 0.89, which attests to possible diversification benefits within a given portfolio. IShares Small returns are very sensitive to returns on the market. As the market goes up or down, IShares Small is expected to follow.
Auto-correlation | -0.19 |
Insignificant reverse predictability
iShares Small Cap has insignificant reverse predictability. Overlapping area represents the amount of predictability between IShares Small 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 Small Cap price movement. The serial correlation of -0.19 indicates that over 19.0% of current IShares Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 5.41 |
iShares Small Cap lagged returns against current returns
Autocorrelation, which is IShares Small 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 Small's etf expected returns. We can calculate the autocorrelation of IShares Small returns to help us make a trade decision. For example, suppose you find that IShares Small 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 Small 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 Small etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Small etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Small etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Small Lagged Returns
When evaluating IShares Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Small etf have on its future price. IShares Small 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 Small autocorrelation shows the relationship between IShares Small etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Small Cap.
Regressed Prices |
| Timeline |
Pair Trading with IShares Small
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 Small 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 Small will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.95 | XMC | iShares SP Mid | PairCorr |
| 0.98 | XMH | iShares SP Mid | PairCorr |
| 0.91 | UMI | CI MidCap Dividend | PairCorr |
| 0.88 | MUMC | Manulife Multifactor Mid | PairCorr |
Moving against IShares Etf
| 0.9 | HIU | BetaPro SP 500 | PairCorr |
| 0.87 | HQD | BetaPro NASDAQ 100 | PairCorr |
| 0.83 | HXD | BetaPro SPTSX 60 | PairCorr |
| 0.52 | HED | BetaPro SPTSX Capped | PairCorr |
| 0.38 | HUN | Global X Natural | PairCorr |
The ability to find closely correlated positions to IShares Small 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 Small 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 Small - 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 Small Cap to buy it.
The correlation of IShares Small 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 Small moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Small Cap 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 Small 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 Small Correlation, IShares Small Volatility and IShares Small Alpha and Beta module to complement your research on IShares Small. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
IShares Small 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.