Mackenzie Maximum Diversification Etf Market Value
| MUS Etf | CAD 36.04 0.11 0.30% |
| Symbol | Mackenzie |
Mackenzie Maximum '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 Mackenzie Maximum'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 Mackenzie Maximum.
| 03/04/2024 |
| 06/02/2024 |
If you would invest 0.00 in Mackenzie Maximum on March 4, 2024 and sell it all today you would earn a total of 0.00 from holding Mackenzie Maximum Diversification or generate 0.0% return on investment in Mackenzie Maximum over 90 days. Mackenzie Maximum is related to or competes with Vanguard FTSE, IShares Core, BMO Long, and Vanguard FTSE. Seeks to replicate, to the extent reasonably possible and before fees and expenses, the performance of the TOBAM Maximum... More
Mackenzie Maximum 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 Mackenzie Maximum'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 Mackenzie Maximum Diversification upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5237 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.12 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.8914 |
Mackenzie Maximum Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mackenzie Maximum's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mackenzie Maximum's standard deviation. In reality, there are many statistical measures that can use Mackenzie Maximum historical prices to predict the future Mackenzie Maximum's volatility.| Risk Adjusted Performance | 0.0393 | |||
| Jensen Alpha | 0.0086 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0556 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mackenzie Maximum'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.
Mackenzie Maximum Backtested Returns
We consider Mackenzie Maximum out of control. Mackenzie Maximum has Sharpe Ratio of 0.0259, which conveys that the entity had a 0.0259% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Mackenzie Maximum, which you can use to evaluate the volatility of the etf. Please verify Mackenzie Maximum's Downside Deviation of 0.5237, risk adjusted performance of 0.0393, and Mean Deviation of 0.3874 to check out if the risk estimate we provide is consistent with the expected return of 0.013%. The etf secures a Beta (Market Risk) of 0.42, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mackenzie Maximum's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mackenzie Maximum is expected to be smaller as well.
Auto-correlation | 0.35 |
Below average predictability
Mackenzie Maximum Diversification has below average predictability. Overlapping area represents the amount of predictability between Mackenzie Maximum time series from 4th of March 2024 to 18th of April 2024 and 18th of April 2024 to 2nd of June 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 Mackenzie Maximum price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Mackenzie Maximum price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 0.31 |
Mackenzie Maximum lagged returns against current returns
Autocorrelation, which is Mackenzie Maximum 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 Mackenzie Maximum's etf expected returns. We can calculate the autocorrelation of Mackenzie Maximum returns to help us make a trade decision. For example, suppose you find that Mackenzie Maximum 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 |
Mackenzie Maximum 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 Mackenzie Maximum etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mackenzie Maximum etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mackenzie Maximum etf over time.
Current vs Lagged Prices |
| Timeline |
Mackenzie Maximum Lagged Returns
When evaluating Mackenzie Maximum's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mackenzie Maximum etf have on its future price. Mackenzie Maximum 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, Mackenzie Maximum autocorrelation shows the relationship between Mackenzie Maximum etf current value and its past values and can show if there is a momentum factor associated with investing in Mackenzie Maximum Diversification.
Regressed Prices |
| Timeline |
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Mackenzie Maximum 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.