IShares Diversified (Netherlands) Market Value
| EXXY Etf | USD 27.04 0.28 1.05% |
| 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.
| 09/22/2024 |
| 12/21/2024 |
If you would invest 0.00 in IShares Diversified on September 22, 2024 and sell it all today you would earn a total of 0.00 from holding iShares Diversified Commodity or generate 0.0% return on investment in IShares Diversified over 90 days. IShares Diversified is related to or competes with Vanguard, SPDR Dow, IShares Core, IShares SP, Vanguard FTSE, IShares China, and IShares China. iShares Dow Jones-UBS Commodity Swap is an exchange traded fund that aims to track the performance of the Dow Jones-UBS ... 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 Commodity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8778 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.43 | |||
| Value At Risk | (1.40) | |||
| Potential Upside | 1.18 |
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 | 0.0087 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (0.03) |
iShares Diversified Backtested Returns
iShares Diversified holds Efficiency (Sharpe) Ratio of -0.0144, which attests that the entity had a -0.0144% return per unit of risk over the last 3 months. iShares Diversified exposes thirty different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out IShares Diversified's Downside Deviation of 0.8778, risk adjusted performance of 0.0087, and Market Risk Adjusted Performance of (0.02) to validate the risk estimate we provide. The etf retains a Market Volatility (i.e., Beta) of 0.0508, 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 | -0.24 |
Weak reverse predictability
iShares Diversified Commodity has weak reverse predictability. Overlapping area represents the amount of predictability between IShares Diversified time series from 22nd of September 2024 to 6th of November 2024 and 6th of November 2024 to 21st of December 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 -0.24 indicates that over 24.0% of current IShares Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
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 Commodity.
Regressed Prices |
| Timeline |
Thematic Opportunities
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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.