Agfiq Market Neutral Etf Market Value
| QBTL Etf | CAD 19.15 0.05 0.26% |
| Symbol | AGFiQ |
AGFiQ Market '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 AGFiQ Market'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 AGFiQ Market.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in AGFiQ Market on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding AGFiQ Market Neutral or generate 0.0% return on investment in AGFiQ Market over 30 days. AGFiQ Market is related to or competes with Brompton Global, Global Healthcare, Tech Leaders, and Brompton North. The AGFiQ US Market Neutral Anti-Beta CAD-Hedged ETF seeks performance results that correspond to the price and yield pe... More
AGFiQ Market 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 AGFiQ Market'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 AGFiQ Market Neutral upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.29) | |||
| Maximum Drawdown | 4.62 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.38 |
AGFiQ Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGFiQ Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGFiQ Market's standard deviation. In reality, there are many statistical measures that can use AGFiQ Market historical prices to predict the future AGFiQ Market's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.25) | |||
| Treynor Ratio | 0.3585 |
AGFiQ Market Neutral Backtested Returns
AGFiQ Market Neutral secures Sharpe Ratio (or Efficiency) of -0.18, which signifies that the etf had a -0.18% return per unit of risk over the last 3 months. AGFiQ Market Neutral exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AGFiQ Market's Mean Deviation of 0.6006, standard deviation of 0.8269, and Risk Adjusted Performance of (0.09) to double-check the risk estimate we provide. The etf shows a Beta (market volatility) of -0.3, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning AGFiQ Market are expected to decrease at a much lower rate. During the bear market, AGFiQ Market is likely to outperform the market.
Auto-correlation | 0.74 |
Good predictability
AGFiQ Market Neutral has good predictability. Overlapping area represents the amount of predictability between AGFiQ Market time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 AGFiQ Market Neutral price movement. The serial correlation of 0.74 indicates that around 74.0% of current AGFiQ Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
AGFiQ Market Neutral lagged returns against current returns
Autocorrelation, which is AGFiQ Market 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 AGFiQ Market's etf expected returns. We can calculate the autocorrelation of AGFiQ Market returns to help us make a trade decision. For example, suppose you find that AGFiQ Market 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 |
AGFiQ Market 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 AGFiQ Market etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGFiQ Market etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGFiQ Market etf over time.
Current vs Lagged Prices |
| Timeline |
AGFiQ Market Lagged Returns
When evaluating AGFiQ Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGFiQ Market etf have on its future price. AGFiQ Market 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, AGFiQ Market autocorrelation shows the relationship between AGFiQ Market etf current value and its past values and can show if there is a momentum factor associated with investing in AGFiQ Market Neutral.
Regressed Prices |
| Timeline |
Pair Trading with AGFiQ Market
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 AGFiQ Market 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 AGFiQ Market will appreciate offsetting losses from the drop in the long position's value.Moving against AGFiQ Etf
| 0.94 | XSP | iShares Core SP | PairCorr |
| 0.93 | XIC | iShares Core SPTSX | PairCorr |
| 0.93 | ZCN | BMO SPTSX Capped | PairCorr |
| 0.92 | XIU | iShares SPTSX 60 | PairCorr |
| 0.9 | ZSP | BMO SP 500 | PairCorr |
The ability to find closely correlated positions to AGFiQ Market could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGFiQ Market 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 AGFiQ Market - 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 AGFiQ Market Neutral to buy it.
The correlation of AGFiQ Market 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 AGFiQ Market moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGFiQ Market Neutral 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 AGFiQ Market 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 AGFiQ Market Correlation, AGFiQ Market Volatility and AGFiQ Market Alpha and Beta module to complement your research on AGFiQ Market. You can also try the Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
AGFiQ Market 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.