Ishares Gold Strategy Etf Volatility
| IAUF Etf | USD 62.52 0.13 0.21% |
IShares Gold appears to be very steady, given 3 months investment horizon. iShares Gold Strategy holds Efficiency (Sharpe) Ratio of 0.34, which attests that the entity had a 0.34% return per unit of risk over the last 3 months. We have found thirty technical indicators for iShares Gold Strategy, which you can use to evaluate the volatility of the entity. Please utilize IShares Gold's Market Risk Adjusted Performance of 0.4552, risk adjusted performance of 0.1816, and Downside Deviation of 0.6929 to validate if our risk estimates are consistent with your expectations. Key indicators related to IShares Gold's volatility include:
360 Days Market Risk | Chance Of Distress | 360 Days Economic Sensitivity |
IShares Gold 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 IShares daily returns, and it is calculated using variance and standard deviation. We also use IShares's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of IShares Gold volatility.
IShares |
Since volatility provides investors with entry points to take advantage of stock prices, companies, such as IShares Gold can benefit from it. Downward market volatility can be a perfect environment for investors who play the long game. Here, they may decide to buy additional stocks of IShares Gold at lower prices. For example, an investor can purchase IShares stock that has halved in price over a short period. This will lower your average cost per share, thereby improving your portfolio's performance when the markets normalize. Similarly, when the prices of IShares Gold's stock rises, investors can sell out and invest the proceeds in other equities with better opportunities. Investing when markets are volatile with better valuations will accord both investors and companies the opportunity to generate better long-term returns.
Moving together with IShares Etf
| 0.99 | GLD | SPDR Gold Shares | PairCorr |
| 1.0 | IAU | iShares Gold Trust | PairCorr |
| 0.98 | SLV | iShares Silver Trust Aggressive Push | PairCorr |
| 0.99 | GLDM | SPDR Gold MiniShares | PairCorr |
| 0.99 | SGOL | abrdn Physical Gold | PairCorr |
| 0.89 | USO | United States Oil | PairCorr |
| 0.92 | DBA | Invesco DB Agriculture | PairCorr |
| 1.0 | GLTR | abrdn Physical Precious | PairCorr |
| 0.98 | SIVR | abrdn Physical Silver | PairCorr |
IShares Gold Market Sensitivity And Downside Risk
IShares Gold's beta coefficient measures the volatility of IShares 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 IShares etf's returns against your selected market. In other words, IShares Gold's beta of 0.48 provides an investor with an approximation of how much risk IShares Gold etf can potentially add to one of your existing portfolios. iShares Gold Strategy exhibits relatively low volatility with skewness of 0.13 and kurtosis of -0.21. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure IShares Gold'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 IShares Gold'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 iShares Gold Strategy Demand TrendCheck current 90 days IShares Gold correlation with market (NYSE Composite)IShares Beta |
IShares 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 | 0.76 |
It is essential to understand the difference between upside risk (as represented by IShares Gold's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of IShares Gold's daily returns or price. Since the actual investment returns on holding a position in ishares 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 IShares Gold.
Using IShares Put Option to Manage Risk
Put options written on IShares Gold grant holders of the option the right to sell a specified amount of IShares Gold at a specified price within a specified time frame. The put buyer has a limited loss and, while not fully unlimited gains, as the price of IShares Etf cannot fall below zero, the put buyer does gain as the price drops. So, one way investors can hedge IShares Gold's position is by buying a put option against it. The put option used this way is usually referred to as insurance. If an undesired outcome occurs and loss on holding IShares Gold will be realized, the loss incurred will be offset by the profits made with the option trade.
IShares Gold's PUT expiring on 2024-04-19
Profit |
| IShares Gold Price At Expiration |
iShares Gold Strategy Etf Volatility Analysis
Volatility refers to the frequency at which IShares Gold etf price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with IShares Gold's price changes. Investors will then calculate the volatility of IShares Gold'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 IShares Gold's volatility:
Historical Volatility
This type of etf volatility measures IShares Gold's fluctuations based on previous trends. It's commonly used to predict IShares Gold'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 IShares Gold'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 IShares Gold'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. iShares Gold Strategy 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.
IShares Gold Projected Return Density Against Market
Given the investment horizon of 90 days IShares Gold has a beta of 0.4815 . This usually indicates as returns on the market go up, IShares Gold average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding iShares Gold Strategy will be expected to be much smaller as well.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 IShares Gold or iShares 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 IShares Gold'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 IShares 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.
IShares Gold Strategy has an alpha of 0.1925, implying that it can generate a 0.19 percent excess return over NYSE Composite after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives an IShares Gold 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.IShares Gold Etf Risk Measures
Given the investment horizon of 90 days the coefficient of variation of IShares Gold is 298.31. The daily returns are distributed with a variance of 0.58 and standard deviation of 0.76. The mean deviation of iShares Gold Strategy is currently at 0.6. For similar time horizon, the selected benchmark (NYSE Composite) has volatility of 0.63
α | Alpha over NYSE Composite | 0.19 | |
β | Beta against NYSE Composite | 0.48 | |
σ | Overall volatility | 0.76 | |
Ir | Information ratio | 0.21 |
IShares Gold Etf Return Volatility
IShares Gold historical daily return volatility represents how much of IShares Gold etf's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The Exchange Traded Fund inherits 0.7641% risk (volatility on return distribution) over the 90 days horizon. By contrast, NYSE Composite accepts 0.6171% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About IShares Gold Volatility
Volatility is a rate at which the price of IShares Gold 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 IShares Gold may increase or decrease. In other words, similar to IShares's beta indicator, it measures the risk of IShares Gold and helps estimate the fluctuations that may happen in a short period of time. So if prices of IShares Gold 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 underlying index is composed of exchange-traded gold futures contracts and one or more ETPs backed by or linked to physical gold. Ishares Gold is traded on BATS Exchange in the United States.
IShares Gold'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 IShares Etf over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much IShares Gold's price varies over time.
3 ways to utilize IShares Gold's volatility to invest better
Higher IShares Gold's etf volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of iShares Gold Strategy 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. iShares Gold Strategy 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 iShares Gold Strategy investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in IShares Gold'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 IShares Gold's etf relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
IShares Gold Investment Opportunity
iShares Gold Strategy has a volatility of 0.76 and is 1.23 times more volatile than NYSE Composite. Compared to the overall equity markets, volatility of historical daily returns of iShares Gold Strategy is lower than 6 percent of all global equities and portfolios over the last 90 days. You can use iShares Gold Strategy to enhance the returns of your portfolios. The etf experiences a normal upward fluctuation. Check odds of IShares Gold to be traded at $65.65 in 90 days.Weak diversification
The correlation between iShares Gold Strategy and NYA is 0.39 (i.e., Weak diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding iShares Gold Strategy and NYA in the same portfolio, assuming nothing else is changed.
IShares Gold Additional Risk Indicators
The analysis of IShares Gold'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 IShares Gold's investment and either accepting that risk or mitigating it. Along with some common measures of IShares Gold 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 | 0.1816 | |||
| Market Risk Adjusted Performance | 0.4552 | |||
| Mean Deviation | 0.6234 | |||
| Semi Deviation | 0.3978 | |||
| Downside Deviation | 0.6929 | |||
| Coefficient Of Variation | 351.03 | |||
| Standard Deviation | 0.7876 |
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.
IShares Gold 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 IShares Gold 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. IShares Gold'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, IShares Gold'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 iShares Gold Strategy.
When determining whether iShares Gold Strategy is a strong investment it is important to analyze IShares Gold'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 IShares Gold's future performance. For an informed investment choice regarding IShares Etf, refer to the following important reports: Check out Risk vs Return Analysis to better understand how to build diversified portfolios, which includes a position in iShares Gold Strategy. Also, note that the market value of any etf could be tightly coupled with the direction of predictive economic indicators such as signals in employment. You can also try the Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
The market value of iShares Gold Strategy 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 Gold's value that differs from its market value or its book value, called intrinsic value, which is IShares Gold'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 Gold's market value can be influenced by many factors that don't directly affect IShares Gold'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 Gold's value and its price as these two are different measures arrived at by different means. Investors typically determine if IShares Gold is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, IShares Gold'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.