Multifactor Equity Fund Market Value
| RTDCX Fund | USD 20.80 0.10 0.48% |
| Symbol | Multifactor |
Multifactor Equity '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 Multifactor Equity'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 Multifactor Equity.
| 11/12/2024 |
| 12/12/2024 |
If you would invest 0.00 in Multifactor Equity on November 12, 2024 and sell it all today you would earn a total of 0.00 from holding Multifactor Equity Fund or generate 0.0% return on investment in Multifactor Equity over 30 days. Multifactor Equity is related to or competes with Iaadx, Falcon Focus, Volumetric Fund, Scharf Global, Abr 7525, and Materials Portfolio. The fund has a non-fundamental policy to invest, under normal circumstances, at least 80 percent of the value of its net... More
Multifactor Equity 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 Multifactor Equity'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 Multifactor Equity Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6517 | |||
| Information Ratio | 0.0907 | |||
| Maximum Drawdown | 4.15 | |||
| Value At Risk | (0.90) | |||
| Potential Upside | 0.9646 |
Multifactor Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Multifactor Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Multifactor Equity's standard deviation. In reality, there are many statistical measures that can use Multifactor Equity historical prices to predict the future Multifactor Equity's volatility.| Risk Adjusted Performance | 0.1833 | |||
| Jensen Alpha | 0.1556 | |||
| Total Risk Alpha | 0.0678 | |||
| Sortino Ratio | 0.0958 | |||
| Treynor Ratio | 1.94 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Multifactor Equity'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.
Multifactor Equity Backtested Returns
At this stage we consider Multifactor Mutual Fund to be very steady. Multifactor Equity has Sharpe Ratio of 0.19, which conveys that the entity had a 0.19% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Multifactor Equity, which you can use to evaluate the volatility of the fund. Please verify Multifactor Equity's Risk Adjusted Performance of 0.1833, downside deviation of 0.6517, and Mean Deviation of 0.4916 to check out if the risk estimate we provide is consistent with the expected return of 0.13%. The fund secures a Beta (Market Risk) of 0.0847, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Multifactor Equity's returns are expected to increase less than the market. However, during the bear market, the loss of holding Multifactor Equity is expected to be smaller as well.
Auto-correlation | -0.57 |
Good reverse predictability
Multifactor Equity Fund has good reverse predictability. Overlapping area represents the amount of predictability between Multifactor Equity time series from 12th of November 2024 to 27th of November 2024 and 27th of November 2024 to 12th 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 Multifactor Equity price movement. The serial correlation of -0.57 indicates that roughly 57.0% of current Multifactor Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.57 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Multifactor Equity lagged returns against current returns
Autocorrelation, which is Multifactor Equity 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 Multifactor Equity's mutual fund expected returns. We can calculate the autocorrelation of Multifactor Equity returns to help us make a trade decision. For example, suppose you find that Multifactor Equity 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 |
Multifactor Equity 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 Multifactor Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Multifactor Equity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Multifactor Equity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Multifactor Equity Lagged Returns
When evaluating Multifactor Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Multifactor Equity mutual fund have on its future price. Multifactor Equity 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, Multifactor Equity autocorrelation shows the relationship between Multifactor Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Multifactor Equity 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 Multifactor Mutual Fund
Multifactor Equity financial ratios help investors to determine whether Multifactor 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 Multifactor with respect to the benefits of owning Multifactor Equity security.
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