Dow Jones Small-cap Index Market Value
| DWST Index | 169,830 1,641 0.96% |
| Symbol | Dow |
Dow Jones '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 Dow Jones' 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 Dow Jones.
| 03/12/2024 |
| 06/10/2024 |
If you would invest 0.00 in Dow Jones on March 12, 2024 and sell it all today you would earn a total of 0.00 from holding Dow Jones Small-Cap or generate 0.0% return on investment in Dow Jones over 90 days.
Dow Jones 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 Dow Jones' 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 Dow Jones Small-Cap upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.47 | |||
| Value At Risk | (1.78) | |||
| Potential Upside | 1.6 |
Dow Jones Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Dow Jones' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Dow Jones' standard deviation. In reality, there are many statistical measures that can use Dow Jones historical prices to predict the future Dow Jones' volatility.Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Dow Jones' 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.
Dow Jones Small-Cap Backtested Returns
Dow Jones Small-Cap secures Sharpe Ratio (or Efficiency) of -0.0144, which denotes the index had a -0.0144% return per unit of risk over the last 3 months. Dow Jones Small-Cap exposes twenty different technical indicators, which can help you to evaluate volatility embedded in its price movement. The index shows a Beta (market volatility) of 0.0, which means not very significant fluctuations relative to the market. the returns on MARKET and Dow Jones are completely uncorrelated.
Auto-correlation | 0.36 |
Below average predictability
Dow Jones Small-Cap has below average predictability. Overlapping area represents the amount of predictability between Dow Jones time series from 12th of March 2024 to 26th of April 2024 and 26th of April 2024 to 10th of June 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 Dow Jones Small-Cap price movement. The serial correlation of 0.36 indicates that just about 36.0% of current Dow Jones price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 6.9 M |
Dow Jones Small-Cap lagged returns against current returns
Autocorrelation, which is Dow Jones 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 Dow Jones' index expected returns. We can calculate the autocorrelation of Dow Jones returns to help us make a trade decision. For example, suppose you find that Dow Jones 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 |
Dow Jones 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 Dow Jones index is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Dow Jones index is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Dow Jones index over time.
Current vs Lagged Prices |
| Timeline |
Dow Jones Lagged Returns
When evaluating Dow Jones' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Dow Jones index have on its future price. Dow Jones 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, Dow Jones autocorrelation shows the relationship between Dow Jones index current value and its past values and can show if there is a momentum factor associated with investing in Dow Jones Small-Cap.
Regressed Prices |
| Timeline |
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