Cognios Market Neutral Fund Market Value
| COGMX Fund | USD 12.07 0.07 0.58% |
| Symbol | Cognios |
Cognios Market '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 Cognios Market'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 Cognios Market.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Cognios Market on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Cognios Market Neutral or generate 0.0% return on investment in Cognios Market over 30 days. Cognios Market is related to or competes with Aqr Long, Aqr Equity, Cognios Market, Aqr Managed, and Aqr Long. The investment seeks long-term growth of capital independent of stock market direction More
Cognios Market 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 Cognios Market'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 Cognios Market Neutral upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 1.81 | |||
| Value At Risk | (0.81) | |||
| Potential Upside | 0.7407 |
Cognios Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cognios Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cognios Market's standard deviation. In reality, there are many statistical measures that can use Cognios Market historical prices to predict the future Cognios Market's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.06) | |||
| Treynor Ratio | (0.31) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Cognios Market'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.
Cognios Market Neutral Backtested Returns
Cognios Market Neutral secures Sharpe Ratio (or Efficiency) of -0.0162, which signifies that the fund had a -0.0162% return per unit of risk over the last 3 months. Cognios Market Neutral exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Cognios Market's Risk Adjusted Performance of (0.01), standard deviation of 0.4298, and Mean Deviation of 0.3304 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.0548, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Cognios Market's returns are expected to increase less than the market. However, during the bear market, the loss of holding Cognios Market is expected to be smaller as well.
Auto-correlation | -0.78 |
Almost perfect reverse predictability
Cognios Market Neutral has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Cognios Market time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Cognios Market Neutral price movement. The serial correlation of -0.78 indicates that around 78.0% of current Cognios Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.78 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Cognios Market Neutral lagged returns against current returns
Autocorrelation, which is Cognios Market 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 Cognios Market's mutual fund expected returns. We can calculate the autocorrelation of Cognios Market returns to help us make a trade decision. For example, suppose you find that Cognios Market 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 |
Cognios Market 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 Cognios Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cognios Market mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cognios Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Cognios Market Lagged Returns
When evaluating Cognios Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cognios Market mutual fund have on its future price. Cognios Market 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, Cognios Market autocorrelation shows the relationship between Cognios Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Cognios Market Neutral.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Cognios Market in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Cognios Market's short interest history, or implied volatility extrapolated from Cognios Market options trading.
Pair Trading with Cognios Market
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 Cognios Market 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 Cognios Market will appreciate offsetting losses from the drop in the long position's value.Moving together with Cognios Mutual Fund
| 0.89 | COGIX | Cognios Market Neutral | PairCorr |
Moving against Cognios Mutual Fund
| 0.48 | QMNRX | Aqr Equity Market | PairCorr |
| 0.44 | BDMAX | Blackrock Global Long | PairCorr |
| 0.44 | BDMCX | Blackrock Global Lng | PairCorr |
| 0.44 | BDMIX | Blackrock Gbl Lng | PairCorr |
| 0.44 | BGCKX | Blackrock Global Lon | PairCorr |
The ability to find closely correlated positions to Cognios Market could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Cognios Market 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 Cognios Market - 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 Cognios Market Neutral to buy it.
The correlation of Cognios Market 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 Cognios Market moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Cognios Market Neutral 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 Cognios Market 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 Cognios Market Correlation, Cognios Market Volatility and Cognios Market Alpha and Beta module to complement your research on Cognios Market. You can also try the Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
Cognios Market 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.