Davis International Fund Market Value
| DILYX Fund | USD 13.69 0.19 1.41% |
| Symbol | Davis |
Davis 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 Davis 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 Davis International.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Davis International on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Davis International Fund or generate 0.0% return on investment in Davis International over 30 days. Davis International is related to or competes with Saat Moderate, Fidelity Managed, Jp Morgan, Transamerica Cleartrack, Blackrock Moderate, Target Retirement, and Lifestyle. The fund will invest significantly in issuers organized or located outside of the U.S More
Davis 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 Davis 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 Davis International Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.0 | |||
| Information Ratio | 0.0356 | |||
| Maximum Drawdown | 11.08 | |||
| Value At Risk | (2.44) | |||
| Potential Upside | 2.99 |
Davis International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Davis International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Davis International's standard deviation. In reality, there are many statistical measures that can use Davis International historical prices to predict the future Davis International's volatility.| Risk Adjusted Performance | 0.093 | |||
| Jensen Alpha | 0.2352 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | 0.0311 | |||
| Treynor Ratio | (0.53) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Davis 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.
Davis International Backtested Returns
Davis International appears to be not too volatile, given 3 months investment horizon. Davis International secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Davis International Fund, which you can use to evaluate the volatility of the entity. Please utilize Davis International's Downside Deviation of 2.0, mean deviation of 1.19, and Coefficient Of Variation of 875.32 to check if our risk estimates are consistent with your expectations. The fund shows a Beta (market volatility) of -0.36, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Davis International are expected to decrease at a much lower rate. During the bear market, Davis International is likely to outperform the market.
Auto-correlation | -0.52 |
Good reverse predictability
Davis International Fund has good reverse predictability. Overlapping area represents the amount of predictability between Davis International time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 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 Davis International price movement. The serial correlation of -0.52 indicates that about 52.0% of current Davis International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Davis International lagged returns against current returns
Autocorrelation, which is Davis 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 Davis International's mutual fund expected returns. We can calculate the autocorrelation of Davis International returns to help us make a trade decision. For example, suppose you find that Davis 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 |
Davis 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 Davis International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Davis 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 Davis International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Davis International Lagged Returns
When evaluating Davis International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Davis International mutual fund have on its future price. Davis 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, Davis International autocorrelation shows the relationship between Davis International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Davis International Fund.
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 Davis Mutual Fund
Davis International financial ratios help investors to determine whether Davis 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 Davis with respect to the benefits of owning Davis International security.
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