LG Russell (Netherlands) Market Value
| RTWO Etf | EUR 91.33 0.25 0.27% |
| Symbol | RTWO |
LG Russell '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 LG Russell'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 LG Russell.
| 02/23/2024 |
| 05/23/2024 |
If you would invest 0.00 in LG Russell on February 23, 2024 and sell it all today you would earn a total of 0.00 from holding LG Russell 2000 or generate 0.0% return on investment in LG Russell over 90 days. LG Russell is related to or competes with IShares SP, IShares Core, IShares MSCI, and IShares MSCI. The Fund is designed to track the performance of the Russell 2000 Index More
LG Russell 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 LG Russell'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 LG Russell 2000 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8999 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 5.64 | |||
| Value At Risk | (1.18) | |||
| Potential Upside | 1.66 |
LG Russell Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for LG Russell's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as LG Russell's standard deviation. In reality, there are many statistical measures that can use LG Russell historical prices to predict the future LG Russell's volatility.| Risk Adjusted Performance | 0.0246 | |||
| Jensen Alpha | 0.031 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.18) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of LG Russell'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.
LG Russell 2000 Backtested Returns
We consider LG Russell very steady. LG Russell 2000 retains Efficiency (Sharpe Ratio) of 0.0689, which conveys that the entity had a 0.0689% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for LG Russell, which you can use to evaluate the volatility of the etf. Please verify LG Russell's Mean Deviation of 0.6678, standard deviation of 0.8902, and Market Risk Adjusted Performance of (0.17) to check out if the risk estimate we provide is consistent with the expected return of 0.0612%. The etf owns a Beta (Systematic Risk) of -0.12, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning LG Russell are expected to decrease at a much lower rate. During the bear market, LG Russell is likely to outperform the market.
Auto-correlation | 0.41 |
Average predictability
LG Russell 2000 has average predictability. Overlapping area represents the amount of predictability between LG Russell time series from 23rd of February 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of May 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 LG Russell 2000 price movement. The serial correlation of 0.41 indicates that just about 41.0% of current LG Russell price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 1.92 |
LG Russell 2000 lagged returns against current returns
Autocorrelation, which is LG Russell 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 LG Russell's etf expected returns. We can calculate the autocorrelation of LG Russell returns to help us make a trade decision. For example, suppose you find that LG Russell 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 |
LG Russell 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 LG Russell etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if LG Russell etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in LG Russell etf over time.
Current vs Lagged Prices |
| Timeline |
LG Russell Lagged Returns
When evaluating LG Russell's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of LG Russell etf have on its future price. LG Russell 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, LG Russell autocorrelation shows the relationship between LG Russell etf current value and its past values and can show if there is a momentum factor associated with investing in LG Russell 2000.
Regressed Prices |
| Timeline |
Pair Trading with LG Russell
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 LG Russell 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 LG Russell will appreciate offsetting losses from the drop in the long position's value.Moving together with RTWO Etf
| 0.77 | VUSA | Vanguard SP 500 | PairCorr |
| 0.74 | DIA | SPDR Dow Jones | PairCorr |
| 0.77 | IUSA | iShares SP 500 | PairCorr |
| 0.78 | VWRL | Vanguard FTSE All | PairCorr |
The ability to find closely correlated positions to LG Russell could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace LG Russell 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 LG Russell - 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 LG Russell 2000 to buy it.
The correlation of LG Russell 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 LG Russell moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if LG Russell 2000 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 LG Russell 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 LG Russell Correlation, LG Russell Volatility and LG Russell Alpha and Beta module to complement your research on LG Russell. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
LG Russell 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.