IShares CoreSP (Australia) Market Value
| IJH Etf | 52.10 0.40 0.77% |
| Symbol | IShares |
IShares CoreSP '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 CoreSP'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 CoreSP.
| 09/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in IShares CoreSP on September 28, 2024 and sell it all today you would earn a total of 0.00 from holding iShares CoreSP MidCap or generate 0.0% return on investment in IShares CoreSP over 60 days. IShares CoreSP is related to or competes with Betashares Asia, BetaShares Australia, Australian High, and Vanguard Australian. IShares CoreSP is entity of Australia. It is traded as Etf on AU exchange. More
IShares CoreSP 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 CoreSP'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 CoreSP MidCap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.84 | |||
| Information Ratio | 0.083 | |||
| Maximum Drawdown | 5.71 | |||
| Value At Risk | (1.05) | |||
| Potential Upside | 1.94 |
IShares CoreSP Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares CoreSP's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares CoreSP's standard deviation. In reality, there are many statistical measures that can use IShares CoreSP historical prices to predict the future IShares CoreSP's volatility.| Risk Adjusted Performance | 0.1664 | |||
| Jensen Alpha | 0.134 | |||
| Total Risk Alpha | 0.0466 | |||
| Sortino Ratio | 0.0978 | |||
| Treynor Ratio | 0.3556 |
iShares CoreSP MidCap Backtested Returns
IShares CoreSP appears to be very steady, given 3 months investment horizon. iShares CoreSP MidCap holds Efficiency (Sharpe) Ratio of 0.23, which attests that the entity had a 0.23% return per unit of risk over the last 3 months. We have found thirty technical indicators for iShares CoreSP MidCap, which you can use to evaluate the volatility of the entity. Please utilize IShares CoreSP's Risk Adjusted Performance of 0.1664, downside deviation of 0.84, and Market Risk Adjusted Performance of 0.3656 to validate if our risk estimates are consistent with your expectations. The etf retains a Market Volatility (i.e., Beta) of 0.57, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, IShares CoreSP's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares CoreSP is expected to be smaller as well.
Auto-correlation | 0.84 |
Very good predictability
iShares CoreSP MidCap has very good predictability. Overlapping area represents the amount of predictability between IShares CoreSP time series from 28th of September 2024 to 28th of October 2024 and 28th of October 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 CoreSP MidCap price movement. The serial correlation of 0.84 indicates that around 84.0% of current IShares CoreSP price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 1.9 |
iShares CoreSP MidCap lagged returns against current returns
Autocorrelation, which is IShares CoreSP 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 CoreSP's etf expected returns. We can calculate the autocorrelation of IShares CoreSP returns to help us make a trade decision. For example, suppose you find that IShares CoreSP 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 CoreSP 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 CoreSP etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares CoreSP etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares CoreSP etf over time.
Current vs Lagged Prices |
| Timeline |
IShares CoreSP Lagged Returns
When evaluating IShares CoreSP's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares CoreSP etf have on its future price. IShares CoreSP 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 CoreSP autocorrelation shows the relationship between IShares CoreSP etf current value and its past values and can show if there is a momentum factor associated with investing in iShares CoreSP MidCap.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Other Information on Investing in IShares Etf
IShares CoreSP financial ratios help investors to determine whether IShares Etf is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in IShares with respect to the benefits of owning IShares CoreSP security.