Ishares Diversified Monthly Etf Market Value
| XTR Etf | CAD 11.35 0.04 0.35% |
| Symbol | IShares |
IShares Diversified '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 Diversified'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 Diversified.
| 06/04/2023 |
| 11/25/2024 |
If you would invest 0.00 in IShares Diversified on June 4, 2023 and sell it all today you would earn a total of 0.00 from holding iShares Diversified Monthly or generate 0.0% return on investment in IShares Diversified over 540 days. IShares Diversified is related to or competes with IShares SPTSX, IShares Canadian, IShares SPTSX, IShares Canadian, and IShares MSCI. This investment seeks to provide consistent monthly cash distributions with the potential for modest long-term capital g... More
IShares Diversified 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 Diversified'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 Diversified Monthly upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2211 | |||
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 1.17 | |||
| Value At Risk | (0.35) | |||
| Potential Upside | 0.4596 |
IShares Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Diversified's standard deviation. In reality, there are many statistical measures that can use IShares Diversified historical prices to predict the future IShares Diversified's volatility.| Risk Adjusted Performance | 0.1718 | |||
| Jensen Alpha | 0.0447 | |||
| Total Risk Alpha | 0.0131 | |||
| Sortino Ratio | (0.31) | |||
| Treynor Ratio | 0.9086 |
iShares Diversified Backtested Returns
As of now, IShares Etf is very steady. iShares Diversified holds Efficiency (Sharpe) Ratio of 0.26, which attests that the entity had a 0.26% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares Diversified, which you can use to evaluate the volatility of the entity. Please check out IShares Diversified's Coefficient Of Variation of 397.11, market risk adjusted performance of 0.9186, and Risk Adjusted Performance of 0.1718 to validate if the risk estimate we provide is consistent with the expected return of 0.0616%. The etf retains a Market Volatility (i.e., Beta) of 0.0568, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IShares Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares Diversified is expected to be smaller as well.
Auto-correlation | 0.81 |
Very good predictability
iShares Diversified Monthly has very good predictability. Overlapping area represents the amount of predictability between IShares Diversified time series from 4th of June 2023 to 29th of February 2024 and 29th of February 2024 to 25th 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 Diversified price movement. The serial correlation of 0.81 indicates that around 81.0% of current IShares Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.81 | |
| Spearman Rank Test | 0.7 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
iShares Diversified lagged returns against current returns
Autocorrelation, which is IShares Diversified 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 Diversified's etf expected returns. We can calculate the autocorrelation of IShares Diversified returns to help us make a trade decision. For example, suppose you find that IShares Diversified 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 Diversified 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 Diversified etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Diversified etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Diversified etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Diversified Lagged Returns
When evaluating IShares Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Diversified etf have on its future price. IShares Diversified 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 Diversified autocorrelation shows the relationship between IShares Diversified etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Diversified Monthly.
Regressed Prices |
| Timeline |
Pair Trading with IShares Diversified
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 Diversified 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 Diversified will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
Moving against IShares Etf
The ability to find closely correlated positions to IShares Diversified 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 Diversified 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 Diversified - 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 Diversified Monthly to buy it.
The correlation of IShares Diversified 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 Diversified moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Diversified 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 Diversified 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 Diversified 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 Diversified security.