IShares Core (Australia) Market Value
| IJR Etf | 189.95 3.95 2.12% |
| Symbol | IShares |
IShares Core '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 Core'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 Core.
| 09/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in IShares Core on September 24, 2024 and sell it all today you would earn a total of 0.00 from holding iShares Core SP or generate 0.0% return on investment in IShares Core over 60 days. IShares Core is related to or competes with IShares MSCI, IShares CoreSP, IShares SP, IShares SPASX, IShares Edge, IShares Core, and IShares Global. IShares Core is entity of Australia. It is traded as Etf on AU exchange. More
IShares Core 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 Core'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 Core SP upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.895 | |||
| Information Ratio | 0.0448 | |||
| Maximum Drawdown | 6.82 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 2.19 |
IShares Core Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for IShares Core's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as IShares Core's standard deviation. In reality, there are many statistical measures that can use IShares Core historical prices to predict the future IShares Core's volatility.| Risk Adjusted Performance | 0.1189 | |||
| Jensen Alpha | 0.1044 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0622 | |||
| Treynor Ratio | 0.296 |
iShares Core SP Backtested Returns
Currently, iShares Core SP is very steady. iShares Core SP 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 Core SP, which you can use to evaluate the volatility of the entity. Please check out IShares Core's Downside Deviation of 0.895, risk adjusted performance of 0.1189, and Market Risk Adjusted Performance of 0.306 to validate if the risk estimate we provide is consistent with the expected return of 0.16%. The etf retains a Market Volatility (i.e., Beta) of 0.6, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, IShares Core's returns are expected to increase less than the market. However, during the bear market, the loss of holding IShares Core is expected to be smaller as well.
Auto-correlation | 0.66 |
Good predictability
iShares Core SP has good predictability. Overlapping area represents the amount of predictability between IShares Core time series from 24th of September 2024 to 24th of October 2024 and 24th of October 2024 to 23rd 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 Core SP price movement. The serial correlation of 0.66 indicates that around 66.0% of current IShares Core price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 47.9 |
iShares Core SP lagged returns against current returns
Autocorrelation, which is IShares Core 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 Core's etf expected returns. We can calculate the autocorrelation of IShares Core returns to help us make a trade decision. For example, suppose you find that IShares Core 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 Core 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 Core etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if IShares Core etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in IShares Core etf over time.
Current vs Lagged Prices |
| Timeline |
IShares Core Lagged Returns
When evaluating IShares Core's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of IShares Core etf have on its future price. IShares Core 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 Core autocorrelation shows the relationship between IShares Core etf current value and its past values and can show if there is a momentum factor associated with investing in iShares Core SP.
Regressed Prices |
| Timeline |
Thematic Opportunities
Explore Investment Opportunities
Check out IShares Core Correlation, IShares Core Volatility and IShares Core Alpha and Beta module to complement your research on IShares Core. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
IShares Core 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.