Insignia Financial (Australia) Market Value
| IFL Stock | 3.15 0.01 0.32% |
| Symbol | Insignia |
Insignia Financial '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 Insignia Financial's stock 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 Insignia Financial.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Insignia Financial on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Insignia Financial or generate 0.0% return on investment in Insignia Financial over 30 days. Insignia Financial is related to or competes with Westpac Banking, Adriatic Metals, Australian Agricultural, and VanEck FTSE. Insignia Financial is entity of Australia More
Insignia Financial 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 Insignia Financial's stock 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 Insignia Financial upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.93 | |||
| Information Ratio | 0.1559 | |||
| Maximum Drawdown | 12.09 | |||
| Value At Risk | (2.17) | |||
| Potential Upside | 3.63 |
Insignia Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Insignia Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Insignia Financial's standard deviation. In reality, there are many statistical measures that can use Insignia Financial historical prices to predict the future Insignia Financial's volatility.| Risk Adjusted Performance | 0.1714 | |||
| Jensen Alpha | 0.3726 | |||
| Total Risk Alpha | 0.1273 | |||
| Sortino Ratio | 0.167 | |||
| Treynor Ratio | 0.7809 |
Insignia Financial Backtested Returns
Insignia Financial appears to be slightly risky, given 3 months investment horizon. Insignia Financial holds Efficiency (Sharpe) Ratio of 0.25, which attests that the entity had a 0.25% return per unit of risk over the last 3 months. By evaluating Insignia Financial's technical indicators, you can evaluate if the expected return of 0.5% is justified by implied risk. Please utilize Insignia Financial's Downside Deviation of 1.93, risk adjusted performance of 0.1714, and Market Risk Adjusted Performance of 0.7909 to validate if our risk estimates are consistent with your expectations. On a scale of 0 to 100, Insignia Financial holds a performance score of 19. The company retains a Market Volatility (i.e., Beta) of 0.56, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Insignia Financial's returns are expected to increase less than the market. However, during the bear market, the loss of holding Insignia Financial is expected to be smaller as well. Please check Insignia Financial's treynor ratio, value at risk, and the relationship between the sortino ratio and maximum drawdown , to make a quick decision on whether Insignia Financial's current trending patterns will revert.
Auto-correlation | 0.38 |
Below average predictability
Insignia Financial has below average predictability. Overlapping area represents the amount of predictability between Insignia Financial time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd of December 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 Insignia Financial price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Insignia Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Insignia Financial lagged returns against current returns
Autocorrelation, which is Insignia Financial stock'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 Insignia Financial's stock expected returns. We can calculate the autocorrelation of Insignia Financial returns to help us make a trade decision. For example, suppose you find that Insignia Financial has exhibited high autocorrelation historically, and you observe that the stock 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 |
Insignia Financial 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 Insignia Financial stock is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Insignia Financial stock is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Insignia Financial stock over time.
Current vs Lagged Prices |
| Timeline |
Insignia Financial Lagged Returns
When evaluating Insignia Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Insignia Financial stock have on its future price. Insignia Financial 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, Insignia Financial autocorrelation shows the relationship between Insignia Financial stock current value and its past values and can show if there is a momentum factor associated with investing in Insignia Financial.
Regressed Prices |
| Timeline |
Thematic Opportunities
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Additional Tools for Insignia Stock Analysis
When running Insignia Financial's price analysis, check to measure Insignia Financial's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Insignia Financial is operating at the current time. Most of Insignia Financial's value examination focuses on studying past and present price action to predict the probability of Insignia Financial's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Insignia Financial's price. Additionally, you may evaluate how the addition of Insignia Financial to your portfolios can decrease your overall portfolio volatility.