Forty Portfolio Institutional Fund Market Value
| JACAX Fund | USD 58.65 0.44 0.76% |
| Symbol | Forty |
Forty Portfolio '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 Forty Portfolio'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 Forty Portfolio.
| 06/05/2024 |
| 12/02/2024 |
If you would invest 0.00 in Forty Portfolio on June 5, 2024 and sell it all today you would earn a total of 0.00 from holding Forty Portfolio Institutional or generate 0.0% return on investment in Forty Portfolio over 180 days. Forty Portfolio is related to or competes with Chartwell Small, Ancora/thelen Small-mid, Baird Small/mid, Small-midcap Dividend, Kinetics Small, and Rbc Small. The Portfolio pursues its investment objective by normally investing in a core group of 30-40 common stocks selected for... More
Forty Portfolio 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 Forty Portfolio'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 Forty Portfolio Institutional upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.12 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 4.63 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 1.38 |
Forty Portfolio Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Forty Portfolio's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Forty Portfolio's standard deviation. In reality, there are many statistical measures that can use Forty Portfolio historical prices to predict the future Forty Portfolio's volatility.| Risk Adjusted Performance | 0.1053 | |||
| Jensen Alpha | 0.0087 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.138 |
Forty Portfolio Inst Backtested Returns
At this stage we consider Forty Mutual Fund to be not too volatile. Forty Portfolio Inst secures Sharpe Ratio (or Efficiency) of 0.18, which denotes the fund had a 0.18% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Forty Portfolio Institutional, which you can use to evaluate the volatility of the entity. Please confirm Forty Portfolio's Downside Deviation of 1.12, coefficient of variation of 738.87, and Mean Deviation of 0.6646 to check if the risk estimate we provide is consistent with the expected return of 0.16%. The fund shows a Beta (market volatility) of 0.84, which means possible diversification benefits within a given portfolio. As returns on the market increase, Forty Portfolio's returns are expected to increase less than the market. However, during the bear market, the loss of holding Forty Portfolio is expected to be smaller as well.
Auto-correlation | -0.33 |
Poor reverse predictability
Forty Portfolio Institutional has poor reverse predictability. Overlapping area represents the amount of predictability between Forty Portfolio time series from 5th of June 2024 to 3rd of September 2024 and 3rd of September 2024 to 2nd 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 Forty Portfolio Inst price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current Forty Portfolio price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.33 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 2.58 |
Forty Portfolio Inst lagged returns against current returns
Autocorrelation, which is Forty Portfolio 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 Forty Portfolio's mutual fund expected returns. We can calculate the autocorrelation of Forty Portfolio returns to help us make a trade decision. For example, suppose you find that Forty Portfolio 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 |
Forty Portfolio 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 Forty Portfolio mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Forty Portfolio mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Forty Portfolio mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Forty Portfolio Lagged Returns
When evaluating Forty Portfolio's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Forty Portfolio mutual fund have on its future price. Forty Portfolio 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, Forty Portfolio autocorrelation shows the relationship between Forty Portfolio mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Forty Portfolio Institutional.
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 Forty Mutual Fund
Forty Portfolio financial ratios help investors to determine whether Forty 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 Forty with respect to the benefits of owning Forty Portfolio security.
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