IShares SP (Australia) Market Value
| IHVV Etf | 55.20 0.30 0.55% |
| Symbol | IShares |
IShares SP '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 SP'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 SP.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in IShares SP on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding iShares SP 500 or generate 0.0% return on investment in IShares SP over 30 days. IShares SP is related to or competes with Betashares Asia, BetaShares Australia, Australian High, and Vanguard Australian. IShares SP is entity of Australia. It is traded as Etf on AU exchange. More
IShares SP 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 SP'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 SP 500 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8374 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.21 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 0.9767 |
IShares SP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares SP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares SP's standard deviation. In reality, there are many statistical measures that can use IShares SP historical prices to predict the future IShares SP's volatility.| Risk Adjusted Performance | 0.1091 | |||
| Jensen Alpha | 0.0208 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1534 |
iShares SP 500 Backtested Returns
Currently, iShares SP 500 is very steady. iShares SP 500 holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for iShares SP 500, which you can use to evaluate the volatility of the entity. Please check out IShares SP's Market Risk Adjusted Performance of 0.1634, risk adjusted performance of 0.1091, and Downside Deviation of 0.8374 to validate if the risk estimate we provide is consistent with the expected return of 0.12%. The etf retains a Market Volatility (i.e., Beta) of 0.63, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, IShares SP's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares SP is expected to be smaller as well.
Auto-correlation | 0.76 |
Good predictability
iShares SP 500 has good predictability. Overlapping area represents the amount of predictability between IShares SP time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 SP 500 price movement. The serial correlation of 0.76 indicates that around 76.0% of current IShares SP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
iShares SP 500 lagged returns against current returns
Autocorrelation, which is IShares SP 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 SP's etf expected returns. We can calculate the autocorrelation of IShares SP returns to help us make a trade decision. For example, suppose you find that IShares SP 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 SP 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 SP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares SP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares SP etf over time.
Current vs Lagged Prices |
| Timeline |
IShares SP Lagged Returns
When evaluating IShares SP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares SP etf have on its future price. IShares SP 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 SP autocorrelation shows the relationship between IShares SP etf current value and its past values and can show if there is a momentum factor associated with investing in iShares SP 500.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Check out IShares SP Correlation, IShares SP Volatility and IShares SP Alpha and Beta module to complement your research on IShares SP. You can also try the Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
IShares SP 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.