Ice Treasury Core Index Market Value
| IDCOTCTR | 109.03 0.31 0.29% |
| Symbol | ICE |
ICE Treasury '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 ICE Treasury's index 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 ICE Treasury.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in ICE Treasury on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding ICE Treasury Core or generate 0.0% return on investment in ICE Treasury over 30 days.
ICE Treasury 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 ICE Treasury's index 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 ICE Treasury Core upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.48) | |||
| Maximum Drawdown | 1.68 | |||
| Value At Risk | (0.57) | |||
| Potential Upside | 0.498 |
ICE Treasury Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ICE Treasury's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ICE Treasury's standard deviation. In reality, there are many statistical measures that can use ICE Treasury historical prices to predict the future ICE Treasury's volatility.| Risk Adjusted Performance | (0.07) | |||
| Total Risk Alpha | (0.08) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ICE Treasury'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.
ICE Treasury Core Backtested Returns
ICE Treasury Core holds Efficiency (Sharpe) Ratio of -0.0361, which attests that the index had a -0.0361% return per unit of return volatility over the last 3 months. ICE Treasury Core exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. The entity retains a Market Volatility (i.e., Beta) of 0.0, which attests to not very significant fluctuations relative to the market. the returns on MARKET and ICE Treasury are completely uncorrelated.
Auto-correlation | -0.16 |
Insignificant reverse predictability
ICE Treasury Core has insignificant reverse predictability. Overlapping area represents the amount of predictability between ICE Treasury time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 ICE Treasury Core price movement. The serial correlation of -0.16 indicates that over 16.0% of current ICE Treasury price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.2 |
ICE Treasury Core lagged returns against current returns
Autocorrelation, which is ICE Treasury index'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 ICE Treasury's index expected returns. We can calculate the autocorrelation of ICE Treasury returns to help us make a trade decision. For example, suppose you find that ICE Treasury has exhibited high autocorrelation historically, and you observe that the index 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 |
ICE Treasury 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 ICE Treasury index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ICE Treasury index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ICE Treasury index over time.
Current vs Lagged Prices |
| Timeline |
ICE Treasury Lagged Returns
When evaluating ICE Treasury's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ICE Treasury index have on its future price. ICE Treasury 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, ICE Treasury autocorrelation shows the relationship between ICE Treasury index current value and its past values and can show if there is a momentum factor associated with investing in ICE Treasury Core.
Regressed Prices |
| Timeline |