Sustainable Equity Fund Market Value
AFDAX Fund | USD 49.97 0.56 1.13% |
Symbol | Sustainable |
Sustainable 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 Sustainable 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 Sustainable Equity.
03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Sustainable Equity on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Sustainable Equity Fund or generate 0.0% return on investment in Sustainable Equity over 30 days. Sustainable Equity is related to or competes with Income Growth, Diversified Bond, Short Term, Value Fund, Ultra Fund, Select Fund, and Select Fund. The fund will generally invest in large capitalization companies the advisor believes show sustainable business improvem... More
Sustainable 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 Sustainable 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 Sustainable Equity Fund upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.7768 | |||
Information Ratio | (0.02) | |||
Maximum Drawdown | 3.82 | |||
Value At Risk | (1.34) | |||
Potential Upside | 1.22 |
Sustainable Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sustainable Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sustainable Equity's standard deviation. In reality, there are many statistical measures that can use Sustainable Equity historical prices to predict the future Sustainable Equity's volatility.Risk Adjusted Performance | 0.0607 | |||
Jensen Alpha | (0.02) | |||
Total Risk Alpha | (0.04) | |||
Sortino Ratio | (0.02) | |||
Treynor Ratio | 0.061 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sustainable 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.
Sustainable Equity Backtested Returns
We consider Sustainable Equity out of control. Sustainable Equity owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0612, which indicates the fund had a 0.0612% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Sustainable Equity Fund, which you can use to evaluate the volatility of the fund. Please validate Sustainable Equity's Coefficient Of Variation of 1050.86, risk adjusted performance of 0.0607, and Semi Deviation of 0.6738 to confirm if the risk estimate we provide is consistent with the expected return of 0.048%. The entity has a beta of 1.05, which indicates a somewhat significant risk relative to the market. Sustainable Equity returns are very sensitive to returns on the market. As the market goes up or down, Sustainable Equity is expected to follow.
Auto-correlation | 0.63 |
Good predictability
Sustainable Equity Fund has good predictability. Overlapping area represents the amount of predictability between Sustainable Equity time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd of April 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 Sustainable Equity price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Sustainable Equity price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.63 | |
Spearman Rank Test | 0.76 | |
Residual Average | 0.0 | |
Price Variance | 0.79 |
Sustainable Equity lagged returns against current returns
Autocorrelation, which is Sustainable 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 Sustainable Equity's mutual fund expected returns. We can calculate the autocorrelation of Sustainable Equity returns to help us make a trade decision. For example, suppose you find that Sustainable 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 |
Sustainable 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 Sustainable Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sustainable 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 Sustainable Equity mutual fund over time.
Current vs Lagged Prices |
Timeline |
Sustainable Equity Lagged Returns
When evaluating Sustainable Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sustainable Equity mutual fund have on its future price. Sustainable 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, Sustainable Equity autocorrelation shows the relationship between Sustainable Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Sustainable Equity Fund.
Regressed Prices |
Timeline |
Pair Trading with Sustainable Equity
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Sustainable Equity position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Sustainable Equity will appreciate offsetting losses from the drop in the long position's value.Moving together with Sustainable Mutual Fund
0.89 | TWADX | Value Fund A | PairCorr |
0.98 | TWCCX | Ultra Fund C | PairCorr |
0.96 | TWCAX | Select Fund A | PairCorr |
0.97 | TWCIX | Select Fund Investor | PairCorr |
The ability to find closely correlated positions to Sustainable Equity could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Sustainable Equity when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Sustainable Equity - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Sustainable Equity Fund to buy it.
The correlation of Sustainable Equity is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Sustainable Equity moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Sustainable Equity moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Sustainable Equity can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Sustainable Equity Correlation, Sustainable Equity Volatility and Sustainable Equity Alpha and Beta module to complement your research on Sustainable Equity. Note that the Sustainable Equity information on this page should be used as a complementary analysis to other Sustainable Equity's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
Sustainable Equity technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.