Ishares Agency Bond Etf Market Value
| AGZ Etf | USD 106.69 0.10 0.09% |
| Symbol | IShares |
The market value of iShares Agency Bond is measured differently than its book value, which is the value of IShares that is recorded on the company's balance sheet. Investors also form their own opinion of IShares Agency's value that differs from its market value or its book value, called intrinsic value, which is IShares Agency's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because IShares Agency's market value can be influenced by many factors that don't directly affect IShares Agency's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between IShares Agency's value and its price as these two are different measures arrived at by different means. Investors typically determine if IShares Agency is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, IShares Agency's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
IShares Agency '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 Agency'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 Agency.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in IShares Agency on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding iShares Agency Bond or generate 0.0% return on investment in IShares Agency over 720 days. IShares Agency is related to or competes with Bondbloxx ETF, Bondbloxx ETF, Bondbloxx ETF, and Bondbloxx ETF. The index measures the performance of the agency sector of the U.S More
IShares Agency 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 Agency'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 Agency Bond upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.50) | |||
| Maximum Drawdown | 1.01 | |||
| Value At Risk | (0.39) | |||
| Potential Upside | 0.2615 |
IShares Agency Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Agency's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Agency's standard deviation. In reality, there are many statistical measures that can use IShares Agency historical prices to predict the future IShares Agency's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Treynor Ratio | (0.15) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of IShares Agency's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
iShares Agency Bond Backtested Returns
iShares Agency Bond holds Efficiency (Sharpe) Ratio of -0.0278, which attests that the entity had a -0.0278% return per unit of risk over the last 3 months. iShares Agency Bond exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out IShares Agency's Risk Adjusted Performance of (0.04), standard deviation of 0.1934, and Market Risk Adjusted Performance of (0.14) to validate the risk estimate we provide. The etf retains a Market Volatility (i.e., Beta) of 0.11, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IShares Agency's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares Agency is expected to be smaller as well.
Auto-correlation | 0.19 |
Very weak predictability
iShares Agency Bond has very weak predictability. Overlapping area represents the amount of predictability between IShares Agency time series from 4th of May 2022 to 29th of April 2023 and 29th of April 2023 to 23rd of April 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 Agency Bond price movement. The serial correlation of 0.19 indicates that over 19.0% of current IShares Agency price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 2.29 |
iShares Agency Bond lagged returns against current returns
Autocorrelation, which is IShares Agency 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 Agency's etf expected returns. We can calculate the autocorrelation of IShares Agency returns to help us make a trade decision. For example, suppose you find that IShares Agency 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 Agency 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 Agency etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Agency etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Agency etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Agency Lagged Returns
When evaluating IShares Agency's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Agency etf have on its future price. IShares Agency 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 Agency autocorrelation shows the relationship between IShares Agency etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Agency Bond.
Regressed Prices |
| Timeline |
Pair Trading with IShares Agency
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 Agency 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 Agency will appreciate offsetting losses from the drop in the long position's value.Moving together with IShares Etf
| 0.89 | SHY | iShares 1 3 | PairCorr |
| 0.83 | LMBS | First Trust Low | PairCorr |
| 0.88 | SPTS | SPDR Barclays Short | PairCorr |
The ability to find closely correlated positions to IShares Agency 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 Agency 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 Agency - 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 Agency Bond to buy it.
The correlation of IShares Agency 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 Agency moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if iShares Agency Bond 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 Agency 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 IShares Agency Correlation, IShares Agency Volatility and IShares Agency Alpha and Beta module to complement your research on IShares Agency. Note that the iShares Agency Bond information on this page should be used as a complementary analysis to other IShares Agency's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
IShares Agency 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.