Wilshire 5000 Index Fund Market Value
| WFIVX Fund | USD 28.59 0.06 0.21% |
| Symbol | Wilshire |
Wilshire 5000 '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 5000'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 5000.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Wilshire 5000 on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Wilshire 5000 Index or generate 0.0% return on investment in Wilshire 5000 over 30 days. Wilshire 5000 is related to or competes with Vanguard Total, and Vanguard 500. The fund invests at least 80 percent of its assets in the equity securities of companies included in the index that are ... More
Wilshire 5000 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 5000'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 5000 Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7628 | |||
| Information Ratio | 0.0205 | |||
| Maximum Drawdown | 3.45 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 1.1 |
Wilshire 5000 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wilshire 5000's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wilshire 5000's standard deviation. In reality, there are many statistical measures that can use Wilshire 5000 historical prices to predict the future Wilshire 5000's volatility.| Risk Adjusted Performance | 0.061 | |||
| Jensen Alpha | 0.0142 | |||
| Total Risk Alpha | 0.0066 | |||
| Sortino Ratio | 0.0203 | |||
| Treynor Ratio | 0.0593 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wilshire 5000'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 5000 Index Backtested Returns
We consider Wilshire 5000 very steady. Wilshire 5000 Index shows Sharpe Ratio of 0.0981, which attests that the fund had a 0.0981% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Wilshire 5000 Index, which you can use to evaluate the volatility of the fund. Please check out Wilshire 5000's Downside Deviation of 0.7628, market risk adjusted performance of 0.0693, and Mean Deviation of 0.5899 to validate if the risk estimate we provide is consistent with the expected return of 0.0744%. The entity maintains a market beta of 1.03, which attests to a somewhat significant risk relative to the market. Wilshire 5000 returns are very sensitive to returns on the market. As the market goes up or down, Wilshire 5000 is expected to follow.
Auto-correlation | -0.01 |
Very weak reverse predictability
Wilshire 5000 Index has very weak reverse predictability. Overlapping area represents the amount of predictability between Wilshire 5000 time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 5000 Index price movement. The serial correlation of -0.01 indicates that just 1.0% of current Wilshire 5000 price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.01 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Wilshire 5000 Index lagged returns against current returns
Autocorrelation, which is Wilshire 5000 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 5000's mutual fund expected returns. We can calculate the autocorrelation of Wilshire 5000 returns to help us make a trade decision. For example, suppose you find that Wilshire 5000 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 5000 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 5000 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wilshire 5000 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 5000 mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Wilshire 5000 Lagged Returns
When evaluating Wilshire 5000's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wilshire 5000 mutual fund have on its future price. Wilshire 5000 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 5000 autocorrelation shows the relationship between Wilshire 5000 mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Wilshire 5000 Index.
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 5000 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 5000's short interest history, or implied volatility extrapolated from Wilshire 5000 options trading.
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Wilshire 5000 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.