iShares Factors Growth Market Value
| STLGDelisted Etf | USD 57.34 0.18 0.31% |
| Symbol | IShares |
IShares Factors '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 Factors' 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 Factors.
| 07/20/2023 |
| 12/11/2024 |
If you would invest 0.00 in IShares Factors on July 20, 2023 and sell it all today you would earn a total of 0.00 from holding iShares Factors Growth or generate 0.0% return on investment in IShares Factors over 510 days. IShares Factors is related to or competes with IShares ESG, IShares Focused, and IShares MSCI. The underlying index is designed to select equity securities from the Russell 1000 Growth Index, which in turn is a subs... More
IShares Factors 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 Factors' 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 Factors Growth upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | 0.0746 | |||
| Maximum Drawdown | 5.49 | |||
| Value At Risk | (2.07) | |||
| Potential Upside | 1.47 |
IShares Factors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Factors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Factors' standard deviation. In reality, there are many statistical measures that can use IShares Factors historical prices to predict the future IShares Factors' volatility.| Risk Adjusted Performance | 0.1411 | |||
| Jensen Alpha | 0.1803 | |||
| Total Risk Alpha | 0.0247 | |||
| Sortino Ratio | 0.068 | |||
| Treynor Ratio | 1.59 |
iShares Factors Growth Backtested Returns
At this point, IShares Factors is very steady. iShares Factors Growth holds Efficiency (Sharpe) Ratio of 0.18, which attests that the entity had a 0.18% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares Factors Growth, which you can use to evaluate the volatility of the entity. Please check out IShares Factors' Downside Deviation of 1.18, risk adjusted performance of 0.1411, and Market Risk Adjusted Performance of 1.6 to validate if the risk estimate we provide is consistent with the expected return of 0.18%. The etf retains a Market Volatility (i.e., Beta) of 0.12, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IShares Factors' returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares Factors is expected to be smaller as well.
Auto-correlation | 0.71 |
Good predictability
iShares Factors Growth has good predictability. Overlapping area represents the amount of predictability between IShares Factors time series from 20th of July 2023 to 31st of March 2024 and 31st of March 2024 to 11th 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 Factors Growth price movement. The serial correlation of 0.71 indicates that around 71.0% of current IShares Factors price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.71 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 9.79 |
iShares Factors Growth lagged returns against current returns
Autocorrelation, which is IShares Factors 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 Factors' etf expected returns. We can calculate the autocorrelation of IShares Factors returns to help us make a trade decision. For example, suppose you find that IShares Factors 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 Factors 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 Factors etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Factors etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Factors etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Factors Lagged Returns
When evaluating IShares Factors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Factors etf have on its future price. IShares Factors 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 Factors autocorrelation shows the relationship between IShares Factors etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Factors Growth.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out IShares Factors Correlation, IShares Factors Volatility and IShares Factors Alpha and Beta module to complement your research on IShares Factors. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
Other Consideration for investing in IShares Etf
If you are still planning to invest in iShares Factors Growth check if it may still be traded through OTC markets such as Pink Sheets or OTC Bulletin Board. You may also purchase it directly from the company, but this is not always possible and may require contacting the company directly. Please note that delisted stocks are often considered to be more risky investments, as they are no longer subject to the same regulatory and reporting requirements as listed stocks. Therefore, it is essential to carefully research the IShares Factors' history and understand the potential risks before investing.
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