Intl Momentum Etf Volatility

IMTM -  USA Etf  

USD 39.60  0.34  0.87%

We consider Intl Momentum very steady. Intl Momentum Factor holds Efficiency (Sharpe) Ratio of 0.09, which attests that the entity had 0.09% of return per unit of risk over the last 3 months. Our standpoint towards determining the volatility of an etf is to use all available market data together with etf-specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Intl Momentum Factor, which you can use to evaluate the future volatility of the entity. Please check out Intl Momentum Market Risk Adjusted Performance of 0.046, risk adjusted performance of 0.037, and Downside Deviation of 1.18 to validate if the risk estimate we provide is consistent with the expected return of 0.0845%.

Intl Momentum Volatility 

 
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Intl Momentum 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 Intl Momentum daily returns, and it is calculated using variance and standard deviation. We also use Intl Momentum's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Intl Momentum volatility.

360 Days Market Risk

Very steady

Chance of Distress

Very Small

360 Days Economic Sensitivity

Almost mirrors the market

Intl Momentum Market Sensitivity And Downside Risk

Intl Momentum's beta coefficient measures the volatility of Intl Momentum etf compared to the systematic risk of the entire stock 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 Intl Momentum etf's returns against your selected market. In other words, Intl Momentum's beta of 0.94 provides an investor with an approximation of how much risk Intl Momentum etf can potentially add to one of your existing portfolios.
Let's try to break down what Intl Momentum's beta means in this case. Intl Momentum returns are very sensitive to returns on the market. As the market goes up or down, Intl Momentum is expected to follow.
3 Months Beta |Analyze Intl Momentum Factor Demand Trend
Check current 90 days Intl Momentum correlation with market (DOW)

Intl Momentum Beta

    
  0.94  
Intl Momentum standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. Typical volatile equity 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

    
  0.94  
It is essential to understand the difference between upside risk (as represented by Intl Momentum's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Intl Momentum stock's daily returns or price. Since the actual investment returns on holding a position in Intl Momentum stock 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 Intl Momentum.

Intl Momentum Implied Volatility

    
  0.0  
Intl Momentum's implied volatility exposes the market's sentiment of Intl Momentum Factor stock's possible movements over time. However, it does not forecast the overall direction of its price. In a nutshell, if Intl Momentum's implied volatility is high, the market thinks the stock has potential for high price swings in either direction. On the other hand, the low implied volatility suggests that Intl Momentum stock will not fluctuate a lot when Intl Momentum's options near their expiration.

Intl Momentum Factor Etf Volatility Analysis

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The output start index for this execution was zero with a total number of output elements of sixty-one. The Median Price line plots median indexes of Intl Momentum Factor price series. View also all equity analysis or get more info about median price price transform indicator.

Intl Momentum Projected Return Density Against Market

Given the investment horizon of 90 days Intl Momentum has a beta of 0.9445 . This usually indicates Intl Momentum Factor market returns are highly reactive to returns on the market. As the market goes up or down, Intl Momentum is expected to follow.
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 Intl Momentum 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 Intl Momentum stock's price will be affected by overall stock 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 Intl Momentum stock'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.
The company has an alpha of 0.0281, implying that it can generate a 0.0281 percent excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 

Intl Momentum Etf Risk Measures

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 Intl Momentum 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 Intl Momentum stock's price will be affected by overall stock 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 Intl Momentum stock'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.
Given the investment horizon of 90 days the coefficient of variation of Intl Momentum is 1111.4. The daily returns are distributed with a variance of 0.88 and standard deviation of 0.94. The mean deviation of Intl Momentum Factor is currently at 0.73. For similar time horizon, the selected benchmark (DOW) has volatility of 0.79
α
Alpha over DOW
0.0281
β
Beta against DOW0.94
σ
Overall volatility
0.94
Ir
Information ratio 0.0278

Intl Momentum Etf Return Volatility

Intl Momentum historical daily return volatility represents how much Intl Momentum stock's price daily returns swing around its mean daily price change - it is a statistical measure of its dispersion of returns. The ETF firm inherits 0.9396% risk (volatility on return distribution) over the 90 days horizon. By contrast, DOW inherits 0.7199% risk (volatility on return distribution) over the 90 days horizon.
 Performance (%) 
      Timeline 

About Intl Momentum Volatility

Volatility is a rate at which the price of Intl Momentum 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 Intl Momentum may increase or decrease. In other words, similar to Intl Momentum's beta indicator, it measures the risk of Intl Momentum and helps estimate the fluctuations that may happen in a short period of time. So if prices of Intl Momentum 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 investment seeks to track the investment results of the MSCI World ex USA Momentum Index that measures the performance of international developed large- and mid-capitalization stocks exhibiting relatively higher momentum characteristics. Intl Momentum is traded on NYSEArca Exchange in the United States.

Nearest Intl Momentum long CALL Option Payoff at Expiration

Intl Momentum's implied volatility is one of the determining factors in the pricing options written on Intl Momentum Factor. Implied volatility approximates the future value of Intl Momentumusing the option's current value. Options with high implied volatility have higher premiums and can be used to hedge the downside of investing in Intl Momentum Factor over a specific time period.
View All Intl Momentum options
2021-11-19 CALL at $32.0 is a CALL option contract on Intl Momentum's common stock with a strick price of 32.0 expiring on 2021-11-19. The contract was not traded in recent days and, as of today, has 32 days remaining before the expiration. The option is currently trading at a bid price of $5.6, and an ask price of $9.7. The implied volatility as of the 18th of October 2021 is 39.6728.
 Profit 
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      Intl Momentum Price At Expiration 

Intl Momentum Investment Opportunity

Intl Momentum Factor has a volatility of 0.94 and is 1.31 times more volatile than DOW. of all equities and portfolios are less risky than Intl Momentum. Compared to the overall equity markets, volatility of historical daily returns of Intl Momentum Factor is lower than 8 () of all global equities and portfolios over the last 90 days. Use Intl Momentum Factor to enhance returns of your portfolios. The etf experiences a moderate upward volatility. Check odds of Intl Momentum to be traded at $43.56 in 90 days. . Let's try to break down what Intl Momentum's beta means in this case. Intl Momentum returns are very sensitive to returns on the market. As the market goes up or down, Intl Momentum is expected to follow.

Poor diversification

The correlation between Intl Momentum Factor and DJI is Poor diversification for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Intl Momentum Factor and DJI in the same portfolio assuming nothing else is changed.

Intl Momentum Additional Risk Indicators

The analysis of Intl Momentum'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 Intl Momentum's investment and either accepting that risk or mitigating it. Along with some common measures of Intl Momentum stock 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 Performance0.037
Market Risk Adjusted Performance0.046
Mean Deviation0.7813
Semi Deviation1.1
Downside Deviation1.18
Coefficient Of Variation2258.95
Standard Deviation0.995
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential stock investments, we recommend comparing similar equities with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.

Intl Momentum 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.
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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 Intl Momentum 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. Intl Momentum'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, Intl Momentum'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 Intl Momentum Factor.
Please see Risk vs Return Analysis. Note that the Intl Momentum Factor information on this page should be used as a complementary analysis to other Intl Momentum'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 Technical Analysis module to check basic technical indicators and analysis based on most latest market data.

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When running Intl Momentum Factor price analysis, check to measure Intl Momentum's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Intl Momentum is operating at the current time. Most of Intl Momentum's value examination focuses on studying past and present price action to predict the probability of Intl Momentum's future price movements. You can analyze the entity against its peers and financial market as a whole to determine factors that move Intl Momentum's price. Additionally, you may evaluate how the addition of Intl Momentum to your portfolios can decrease your overall portfolio volatility.
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The market value of Intl Momentum Factor is measured differently than its book value, which is the value of Intl Momentum that is recorded on the company's balance sheet. Investors also form their own opinion of Intl Momentum's value that differs from its market value or its book value, called intrinsic value, which is Intl Momentum'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 Intl Momentum's market value can be influenced by many factors that don't directly affect Intl Momentum Factor underlying business (such as pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between Intl Momentum's value and its price as these two are different measures arrived at by different means. Investors typically determine Intl Momentum value by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Intl Momentum'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.