Frost Growth Equity Fund Market Value
| FACEX Fund | USD 15.30 0.25 1.66% |
| Symbol | Frost |
Frost Growth '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 Frost Growth'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 Frost Growth.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Frost Growth on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Frost Growth Equity or generate 0.0% return on investment in Frost Growth over 30 days. Frost Growth is related to or competes with Amana Income, Amana Income, Amana Developing, and Amana Developing. Under normal market conditions, the fund invests at least 80 percent of its net assets, plus any borrowings for investme... More
Frost Growth 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 Frost Growth'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 Frost Growth Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9494 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.13 | |||
| Value At Risk | (1.46) | |||
| Potential Upside | 1.66 |
Frost Growth Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frost Growth's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frost Growth's standard deviation. In reality, there are many statistical measures that can use Frost Growth historical prices to predict the future Frost Growth's volatility.| Risk Adjusted Performance | 0.047 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0576 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Frost Growth'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.
Frost Growth Equity Backtested Returns
We consider Frost Growth very steady. Frost Growth Equity secures Sharpe Ratio (or Efficiency) of 0.0552, which denotes the fund had a 0.0552% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Frost Growth Equity, which you can use to evaluate the volatility of the entity. Please confirm Frost Growth's Mean Deviation of 0.7512, downside deviation of 0.9494, and Coefficient Of Variation of 1445.57 to check if the risk estimate we provide is consistent with the expected return of 0.0569%. The fund shows a Beta (market volatility) of 1.04, which means a somewhat significant risk relative to the market. Frost Growth returns are very sensitive to returns on the market. As the market goes up or down, Frost Growth is expected to follow.
Auto-correlation | 0.58 |
Modest predictability
Frost Growth Equity has modest predictability. Overlapping area represents the amount of predictability between Frost Growth time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Frost Growth Equity price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Frost Growth price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Frost Growth Equity lagged returns against current returns
Autocorrelation, which is Frost Growth 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 Frost Growth's mutual fund expected returns. We can calculate the autocorrelation of Frost Growth returns to help us make a trade decision. For example, suppose you find that Frost Growth 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 |
Frost Growth 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 Frost Growth mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frost Growth mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frost Growth mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Frost Growth Lagged Returns
When evaluating Frost Growth's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frost Growth mutual fund have on its future price. Frost Growth 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, Frost Growth autocorrelation shows the relationship between Frost Growth mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Frost Growth Equity.
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 Frost Growth 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, Frost Growth's short interest history, or implied volatility extrapolated from Frost Growth options trading.
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Frost Growth Correlation, Frost Growth Volatility and Frost Growth Alpha and Beta module to complement your research on Frost Growth. Note that the Frost Growth Equity information on this page should be used as a complementary analysis to other Frost Growth'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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
Frost Growth 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.