Dow Jones Mid-cap Index Market Value
| DJUSM Index | 1,662 1.87 0.11% |
| 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.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Dow Jones on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Dow Jones Mid-Cap or generate 0.0% return on investment in Dow Jones over 30 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 Mid-Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8879 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 2.99 | |||
| Value At Risk | (1.40) | |||
| Potential Upside | 1.16 |
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.| Risk Adjusted Performance | 0.0568 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0) |
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.
Please note, it is not enough to conduct a financial or market analysis of a single entity such as Dow Jones. Your research has to be compared to or analyzed against Dow Jones' peers to derive any actionable benefits. When done correctly, Dow Jones' 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 Dow Jones Mid-Cap.
Dow Jones Mid-Cap Backtested Returns
Dow Jones Mid-Cap secures Sharpe Ratio (or Efficiency) of 0.0687, which denotes the index had a 0.0687% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Dow Jones Mid-Cap, which you can use to evaluate the volatility of the entity. 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 | -0.04 |
Very weak reverse predictability
Dow Jones Mid-Cap has very weak reverse predictability. Overlapping area represents the amount of predictability between Dow Jones time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Dow Jones Mid-Cap price movement. The serial correlation of -0.04 indicates that only as little as 4.0% of current Dow Jones price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.04 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 1043.21 |
Dow Jones Mid-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 Mid-Cap.
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 Dow Jones 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, Dow Jones' short interest history, or implied volatility extrapolated from Dow Jones options trading.
Pair Trading with Dow Jones
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Dow Jones position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Dow Jones will appreciate offsetting losses from the drop in the long position's value.Moving together with Dow Index
| 0.84 | MSFT | Microsoft Earnings Call This Week | PairCorr |
| 0.94 | NVDA | NVIDIA Financial Report 22nd of May 2024 | PairCorr |
| 0.85 | AMZN | Amazon Inc Earnings Call This Week | PairCorr |
Moving against Dow Index
| 0.83 | AAPL | Apple Inc Report 2nd of May 2024 | PairCorr |
The ability to find closely correlated positions to Dow Jones could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Dow Jones when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Dow Jones - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Dow Jones Mid-Cap to buy it.
The correlation of Dow Jones is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Dow Jones moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Dow Jones Mid-Cap moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Dow Jones can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Investing Opportunities to better understand how to build diversified portfolios. Also, note that the market value of any index could be tightly coupled with the direction of predictive economic indicators such as signals in population. You can also try the Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
Dow Jones 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.