Wilshire International Equity Fund Market Value
| WLCTX Fund | USD 10.78 0.07 0.65% |
| Symbol | Wilshire |
Wilshire International '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 Wilshire International's mutual fund 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 Wilshire International.
| 07/04/2022 |
| 04/24/2024 |
If you would invest 0.00 in Wilshire International on July 4, 2022 and sell it all today you would earn a total of 0.00 from holding Wilshire International Equity or generate 0.0% return on investment in Wilshire International over 660 days. Wilshire International is related to or competes with Vanguard Total, Vanguard Developed, Vanguard Developed, and Fidelity International. The fund invests, under normal circumstances, at least 80 percent of its net assets in equity securities More
Wilshire International 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 Wilshire International's mutual fund 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 Wilshire International Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6489 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 2.81 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 0.9991 |
Wilshire International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wilshire International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wilshire International's standard deviation. In reality, there are many statistical measures that can use Wilshire International historical prices to predict the future Wilshire International's volatility.| Risk Adjusted Performance | 0.0642 | |||
| Jensen Alpha | 0.0428 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.5678 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wilshire International'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.
Wilshire International Backtested Returns
We consider Wilshire International very steady. Wilshire International shows Sharpe Ratio of 0.0576, which attests that the fund had a 0.0576% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Wilshire International, which you can use to evaluate the volatility of the fund. Please check out Wilshire International's Downside Deviation of 0.6489, mean deviation of 0.4354, and Market Risk Adjusted Performance of 0.5778 to validate if the risk estimate we provide is consistent with the expected return of 0.0334%. The entity maintains a market beta of 0.0888, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Wilshire International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Wilshire International is expected to be smaller as well.
Auto-correlation | 0.67 |
Good predictability
Wilshire International Equity has good predictability. Overlapping area represents the amount of predictability between Wilshire International time series from 4th of July 2022 to 30th of May 2023 and 30th of May 2023 to 24th 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 Wilshire International price movement. The serial correlation of 0.67 indicates that around 67.0% of current Wilshire International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
Wilshire International lagged returns against current returns
Autocorrelation, which is Wilshire International mutual fund'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 Wilshire International's mutual fund expected returns. We can calculate the autocorrelation of Wilshire International returns to help us make a trade decision. For example, suppose you find that Wilshire International has exhibited high autocorrelation historically, and you observe that the mutual fund 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 |
Wilshire International 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 Wilshire International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wilshire International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wilshire International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Wilshire International Lagged Returns
When evaluating Wilshire International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wilshire International mutual fund have on its future price. Wilshire International 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, Wilshire International autocorrelation shows the relationship between Wilshire International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Wilshire International Equity.
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 Wilshire International 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, Wilshire International's short interest history, or implied volatility extrapolated from Wilshire International options trading.
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Wilshire International technical mutual fund 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, fund market cycles, or different charting patterns.