Agfiq Market Neutral Etf Volatility
| QBTL Etf | CAD 19.04 0.33 1.76% |
AGFiQ Market Neutral secures Sharpe Ratio (or Efficiency) of -0.16, which signifies that the etf had a -0.16% return per unit of risk over the last 3 months. AGFiQ Market Neutral exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm AGFiQ Market's Standard Deviation of 0.8216, mean deviation of 0.6306, and Risk Adjusted Performance of (0.14) to double-check the risk estimate we provide. Key indicators related to AGFiQ Market's volatility include:
720 Days Market Risk | Chance Of Distress | 720 Days Economic Sensitivity |
AGFiQ Market Etf volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of AGFiQ daily returns, and it is calculated using variance and standard deviation. We also use AGFiQ's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of AGFiQ Market volatility.
AGFiQ |
Downward market volatility can be a perfect environment for investors who play the long game with AGFiQ Market. They may decide to buy additional shares of AGFiQ Market at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving against AGFiQ Etf
| 0.94 | XSP | iShares Core SP | PairCorr |
| 0.93 | XIU | iShares SPTSX 60 | PairCorr |
| 0.93 | XIC | iShares Core SPTSX | PairCorr |
| 0.93 | ZCN | BMO SPTSX Capped | PairCorr |
| 0.93 | ZEB | BMO SPTSX Equal | PairCorr |
| 0.91 | ZSP | BMO SP 500 | PairCorr |
| 0.91 | VFV | Vanguard SP 500 | PairCorr |
| 0.89 | FETH | Fidelity Advantage Ether | PairCorr |
| 0.88 | ETC | Evolve Cryptocurrencies | PairCorr |
AGFiQ Market Market Sensitivity And Downside Risk
AGFiQ Market's beta coefficient measures the volatility of AGFiQ etf compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents AGFiQ etf's returns against your selected market. In other words, AGFiQ Market's beta of -0.21 provides an investor with an approximation of how much risk AGFiQ Market etf can potentially add to one of your existing portfolios. AGFiQ Market Neutral exhibits very low volatility with skewness of 0.23 and kurtosis of 0.31. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure AGFiQ Market's etf risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact AGFiQ Market's etf price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze AGFiQ Market Neutral Demand TrendCheck current 90 days AGFiQ Market correlation with market (Dow Jones Industrial)AGFiQ Beta |
AGFiQ standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 0.82 |
It is essential to understand the difference between upside risk (as represented by AGFiQ Market's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of AGFiQ Market's daily returns or price. Since the actual investment returns on holding a position in agfiq etf tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in AGFiQ Market.
AGFiQ Market Neutral Etf Volatility Analysis
Volatility refers to the frequency at which AGFiQ Market etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with AGFiQ Market's price changes. Investors will then calculate the volatility of AGFiQ Market's etf to predict their future moves. A etf that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A etf with relatively stable price changes has low volatility. A highly volatile etf is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of AGFiQ Market's volatility:
Historical Volatility
This type of etf volatility measures AGFiQ Market's fluctuations based on previous trends. It's commonly used to predict AGFiQ Market's future behavior based on its past. However, it cannot conclusively determine the future direction of the etf.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for AGFiQ Market's current market price. This means that the etf will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on AGFiQ Market's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. AGFiQ Market Neutral Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
AGFiQ Market Projected Return Density Against Market
Assuming the 90 days trading horizon AGFiQ Market Neutral has a beta of -0.212 indicating as returns on the benchmark increase, returns on holding AGFiQ Market are expected to decrease at a much lower rate. During a bear market, however, AGFiQ Market Neutral is likely to outperform the market.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to AGFiQ Market or AGF Investments Inc. sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that AGFiQ Market's price will be affected by overall etf market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a AGFiQ etf's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
AGFiQ Market Neutral has a negative alpha, implying that the risk taken by holding this instrument is not justified. The company is significantly underperforming the Dow Jones Industrial. Predicted Return Density |
| Returns |
What Drives an AGFiQ Market Price Volatility?
Several factors can influence a etf's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.AGFiQ Market Etf Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of AGFiQ Market is -627.13. The daily returns are distributed with a variance of 0.68 and standard deviation of 0.82. The mean deviation of AGFiQ Market Neutral is currently at 0.63. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.72
α | Alpha over Dow Jones | -0.14 | |
β | Beta against Dow Jones | -0.21 | |
σ | Overall volatility | 0.82 | |
Ir | Information ratio | -0.34 |
AGFiQ Market Etf Return Volatility
AGFiQ Market historical daily return volatility represents how much of AGFiQ Market etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The ETF accepts 0.8249% volatility on return distribution over the 90 days horizon. By contrast, Dow Jones Industrial accepts 0.7357% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About AGFiQ Market Volatility
Volatility is a rate at which the price of AGFiQ Market or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of AGFiQ Market may increase or decrease. In other words, similar to AGFiQ's beta indicator, it measures the risk of AGFiQ Market and helps estimate the fluctuations that may happen in a short period of time. So if prices of AGFiQ Market fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.The AGFiQ US Market Neutral Anti-Beta CAD-Hedged ETF seeks performance results that correspond to the price and yield performance, before fees and expenses, of the Target Anti-Beta Index. AGFIQ US is traded on Toronto Stock Exchange in Canada.
AGFiQ Market's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on AGFiQ Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much AGFiQ Market's price varies over time.
3 ways to utilize AGFiQ Market's volatility to invest better
Higher AGFiQ Market's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of AGFiQ Market Neutral etf is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. AGFiQ Market Neutral etf volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of AGFiQ Market Neutral investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in AGFiQ Market's etf can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of AGFiQ Market's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
AGFiQ Market Investment Opportunity
AGFiQ Market Neutral has a volatility of 0.82 and is 1.11 times more volatile than Dow Jones Industrial. 7 percent of all equities and portfolios are less risky than AGFiQ Market. You can use AGFiQ Market Neutral to enhance the returns of your portfolios. The etf experiences a large bullish trend. Check odds of AGFiQ Market to be traded at C$20.94 in 90 days.Good diversification
The correlation between AGFiQ Market Neutral and DJI is -0.19 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding AGFiQ Market Neutral and DJI in the same portfolio, assuming nothing else is changed.
AGFiQ Market Additional Risk Indicators
The analysis of AGFiQ Market's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in AGFiQ Market's investment and either accepting that risk or mitigating it. Along with some common measures of AGFiQ Market etf's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | (0.14) | |||
| Market Risk Adjusted Performance | 0.7988 | |||
| Mean Deviation | 0.6306 | |||
| Coefficient Of Variation | (522.59) | |||
| Standard Deviation | 0.8216 | |||
| Variance | 0.675 | |||
| Information Ratio | (0.34) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential etfs, we recommend comparing similar etfs with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
AGFiQ Market Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against AGFiQ Market as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. AGFiQ Market's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, AGFiQ Market's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to AGFiQ Market Neutral.
When determining whether AGFiQ Market Neutral is a strong investment it is important to analyze AGFiQ Market's competitive position within its industry, examining market share, product or service uniqueness, and competitive advantages. Beyond financials and market position, potential investors should also consider broader economic conditions, industry trends, and any regulatory or geopolitical factors that may impact AGFiQ Market's future performance. For an informed investment choice regarding AGFiQ Etf, refer to the following important reports: Check out Your Equity Center to better understand how to build diversified portfolios, which includes a position in AGFiQ Market Neutral. Also, note that the market value of any etf could be closely tied with the direction of predictive economic indicators such as signals in board of governors. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.