IShares Edge (Australia) Market Value
| AUMF Etf | 35.31 0.35 1.00% |
| Symbol | IShares |
IShares Edge '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 IShares Edge'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 IShares Edge.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in IShares Edge on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding iShares Edge MSCI or generate 0.0% return on investment in IShares Edge over 720 days. IShares Edge is related to or competes with IShares Core, IShares CoreSP, SPDR SP, IShares Core, Vanguard Total, IShares Global, and SPDR SP. IShares Edge is entity of Australia. It is traded as Etf on AU exchange. More
IShares Edge 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 IShares Edge'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 iShares Edge MSCI upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6672 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 2.71 | |||
| Value At Risk | (1.16) | |||
| Potential Upside | 1.0 |
IShares Edge Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Edge's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Edge's standard deviation. In reality, there are many statistical measures that can use IShares Edge historical prices to predict the future IShares Edge's volatility.| Risk Adjusted Performance | 0.1078 | |||
| Jensen Alpha | 0.0781 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 29.05 |
iShares Edge MSCI Backtested Returns
Currently, iShares Edge MSCI is very steady. iShares Edge MSCI holds Efficiency (Sharpe) Ratio of 0.13, which attests that the entity had a 0.13% return per unit of risk over the last 3 months. We have found thirty technical indicators for iShares Edge MSCI, which you can use to evaluate the volatility of the entity. Please check out IShares Edge's Market Risk Adjusted Performance of 29.06, downside deviation of 0.6672, and Risk Adjusted Performance of 0.1078 to validate if the risk estimate we provide is consistent with the expected return of 0.0821%. The etf retains a Market Volatility (i.e., Beta) of 0.0027, which attests to not very significant fluctuations relative to the market. As returns on the market increase, IShares Edge's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares Edge is expected to be smaller as well.
Auto-correlation | -0.23 |
Weak reverse predictability
iShares Edge MSCI has weak reverse predictability. Overlapping area represents the amount of predictability between IShares Edge time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th of November 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 iShares Edge MSCI price movement. The serial correlation of -0.23 indicates that over 23.0% of current IShares Edge price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 2.58 |
iShares Edge MSCI lagged returns against current returns
Autocorrelation, which is IShares Edge 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 IShares Edge's etf expected returns. We can calculate the autocorrelation of IShares Edge returns to help us make a trade decision. For example, suppose you find that IShares Edge 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 |
IShares Edge 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 IShares Edge etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Edge etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Edge etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Edge Lagged Returns
When evaluating IShares Edge's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Edge etf have on its future price. IShares Edge 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, IShares Edge autocorrelation shows the relationship between IShares Edge etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Edge MSCI.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Check out IShares Edge Correlation, IShares Edge Volatility and IShares Edge Alpha and Beta module to complement your research on IShares Edge. You can also try the Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
IShares Edge 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.