ISEQ 20 (Ireland) Market Value
| IETP Index | 1,645 6.83 0.41% |
| Symbol | ISEQ |
ISEQ 20 '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 ISEQ 20'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 ISEQ 20.
| 02/28/2024 |
| 04/28/2024 |
If you would invest 0.00 in ISEQ 20 on February 28, 2024 and sell it all today you would earn a total of 0.00 from holding ISEQ 20 Price or generate 0.0% return on investment in ISEQ 20 over 60 days.
ISEQ 20 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 ISEQ 20'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 ISEQ 20 Price upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7686 | |||
| Information Ratio | 0.1091 | |||
| Maximum Drawdown | 3.97 | |||
| Value At Risk | (0.96) | |||
| Potential Upside | 1.15 |
ISEQ 20 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for ISEQ 20's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as ISEQ 20's standard deviation. In reality, there are many statistical measures that can use ISEQ 20 historical prices to predict the future ISEQ 20's volatility.| Risk Adjusted Performance | 0.1418 | |||
| Total Risk Alpha | 0.0654 | |||
| Sortino Ratio | 0.1101 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of ISEQ 20'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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as ISEQ 20. Your research has to be compared to or analyzed against ISEQ 20's peers to derive any actionable benefits. When done correctly, ISEQ 20's competitive analysis will give you plenty of quantitative and qualitative data to validate your investment decisions or develop an entirely new strategy toward taking a position in ISEQ 20 Price.
ISEQ 20 Price Backtested Returns
ISEQ 20 Price holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16% return per unit of return volatility over the last 3 months. We have found twenty-seven technical indicators for ISEQ 20 Price, which you can use to evaluate the volatility of the entity. The index 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 ISEQ 20 are completely uncorrelated.
Auto-correlation | -0.31 |
Poor reverse predictability
ISEQ 20 Price has poor reverse predictability. Overlapping area represents the amount of predictability between ISEQ 20 time series from 28th of February 2024 to 29th of March 2024 and 29th of March 2024 to 28th of April 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 ISEQ 20 Price price movement. The serial correlation of -0.31 indicates that nearly 31.0% of current ISEQ 20 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.31 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 245.43 |
ISEQ 20 Price lagged returns against current returns
Autocorrelation, which is ISEQ 20 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 ISEQ 20's index expected returns. We can calculate the autocorrelation of ISEQ 20 returns to help us make a trade decision. For example, suppose you find that ISEQ 20 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 |
ISEQ 20 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 ISEQ 20 index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if ISEQ 20 index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in ISEQ 20 index over time.
Current vs Lagged Prices |
| Timeline |
ISEQ 20 Lagged Returns
When evaluating ISEQ 20's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of ISEQ 20 index have on its future price. ISEQ 20 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, ISEQ 20 autocorrelation shows the relationship between ISEQ 20 index current value and its past values and can show if there is a momentum factor associated with investing in ISEQ 20 Price.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards ISEQ 20 in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, ISEQ 20's short interest history, or implied volatility extrapolated from ISEQ 20 options trading.
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ISEQ 20 technical index 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, index market cycles, or different charting patterns.