Basic Materials Ultrasector Fund Market Value
| BMPIX Fund | USD 110.73 1.37 1.22% |
| Symbol | Basic |
Basic Materials '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 Basic Materials' 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 Basic Materials.
| 10/23/2023 |
| 12/16/2024 |
If you would invest 0.00 in Basic Materials on October 23, 2023 and sell it all today you would earn a total of 0.00 from holding Basic Materials Ultrasector or generate 0.0% return on investment in Basic Materials over 420 days. Basic Materials is related to or competes with Short Real, Short Real, Ultrashort Mid, Ultrashort Mid, Technology Ultrasector, Technology Ultrasector, and Large Cap. The fund invests in financial instruments that the fund advisors believes, in combination, should produce daily returns ... More
Basic Materials 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 Basic Materials' 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 Basic Materials Ultrasector upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 5.56 | |||
| Value At Risk | (1.84) | |||
| Potential Upside | 1.98 |
Basic Materials Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Basic Materials' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Basic Materials' standard deviation. In reality, there are many statistical measures that can use Basic Materials historical prices to predict the future Basic Materials' volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.17) | |||
| Total Risk Alpha | (0.23) | |||
| Treynor Ratio | (0.08) |
Basic Materials Ultr Backtested Returns
Basic Materials Ultr secures Sharpe Ratio (or Efficiency) of -0.1, which signifies that the fund had a -0.1% return per unit of risk over the last 3 months. Basic Materials Ultrasector exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Basic Materials' Standard Deviation of 1.17, risk adjusted performance of (0.04), and Mean Deviation of 0.971 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.99, which signifies possible diversification benefits within a given portfolio. Basic Materials returns are very sensitive to returns on the market. As the market goes up or down, Basic Materials is expected to follow.
Auto-correlation | 0.57 |
Modest predictability
Basic Materials Ultrasector has modest predictability. Overlapping area represents the amount of predictability between Basic Materials time series from 23rd of October 2023 to 20th of May 2024 and 20th of May 2024 to 16th 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 Basic Materials Ultr price movement. The serial correlation of 0.57 indicates that roughly 57.0% of current Basic Materials price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.57 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 21.25 |
Basic Materials Ultr lagged returns against current returns
Autocorrelation, which is Basic Materials 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 Basic Materials' mutual fund expected returns. We can calculate the autocorrelation of Basic Materials returns to help us make a trade decision. For example, suppose you find that Basic Materials 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 |
Basic Materials 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 Basic Materials mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Basic Materials mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Basic Materials mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Basic Materials Lagged Returns
When evaluating Basic Materials' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Basic Materials mutual fund have on its future price. Basic Materials 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, Basic Materials autocorrelation shows the relationship between Basic Materials mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Basic Materials Ultrasector.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Basic Mutual Fund
Basic Materials financial ratios help investors to determine whether Basic Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Basic with respect to the benefits of owning Basic Materials security.
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