Rbc Quant Canadian Etf Market Value
| RCD Etf | CAD 26.07 0.24 0.93% |
| Symbol | RBC |
RBC Quant '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 RBC Quant'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 RBC Quant.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in RBC Quant on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding RBC Quant Canadian or generate 0.0% return on investment in RBC Quant over 30 days. RBC Quant is related to or competes with IShares Diversified, IShares SPTSX, and IShares SPTSX. The fund seeks to provide unitholders with exposure to the performance of a diversified portfolio of high-quality Canadi... More
RBC Quant 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 RBC Quant'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 RBC Quant Canadian upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6777 | |||
| Information Ratio | 0.0032 | |||
| Maximum Drawdown | 3.28 | |||
| Value At Risk | (0.91) | |||
| Potential Upside | 1.09 |
RBC Quant Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for RBC Quant's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as RBC Quant's standard deviation. In reality, there are many statistical measures that can use RBC Quant historical prices to predict the future RBC Quant's volatility.| Risk Adjusted Performance | 0.0884 | |||
| Jensen Alpha | 0.0391 | |||
| Total Risk Alpha | 0.003 | |||
| Sortino Ratio | 0.0029 | |||
| Treynor Ratio | 0.1525 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of RBC Quant'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.
RBC Quant Canadian Backtested Returns
We consider RBC Quant very steady. RBC Quant Canadian retains Efficiency (Sharpe Ratio) of 0.11, which implies the etf had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for RBC Quant, which you can use to evaluate the volatility of the entity. Please check RBC Quant's semi deviation of 0.4815, and Market Risk Adjusted Performance of 0.1625 to confirm if the risk estimate we provide is consistent with the expected return of 0.0688%. The entity owns a Beta (Systematic Risk) of 0.51, which implies possible diversification benefits within a given portfolio. As returns on the market increase, RBC Quant's returns are expected to increase less than the market. However, during the bear market, the loss of holding RBC Quant is expected to be smaller as well.
Auto-correlation | -0.37 |
Poor reverse predictability
RBC Quant Canadian has poor reverse predictability. Overlapping area represents the amount of predictability between RBC Quant time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 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 RBC Quant Canadian price movement. The serial correlation of -0.37 indicates that just about 37.0% of current RBC Quant price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.37 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
RBC Quant Canadian lagged returns against current returns
Autocorrelation, which is RBC Quant 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 RBC Quant's etf expected returns. We can calculate the autocorrelation of RBC Quant returns to help us make a trade decision. For example, suppose you find that RBC Quant 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 |
RBC Quant 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 RBC Quant etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if RBC Quant etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in RBC Quant etf over time.
Current vs Lagged Prices |
| Timeline |
RBC Quant Lagged Returns
When evaluating RBC Quant's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of RBC Quant etf have on its future price. RBC Quant 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, RBC Quant autocorrelation shows the relationship between RBC Quant etf current value and its past values and can show if there is a momentum factor associated with investing in RBC Quant Canadian.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out RBC Quant Correlation, RBC Quant Volatility and RBC Quant Alpha and Beta module to complement your research on RBC Quant. Note that the RBC Quant Canadian information on this page should be used as a complementary analysis to other RBC Quant'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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
RBC Quant 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.