Federated Mid Cap Index Fund Market Value
| FMCRX Fund | USD 16.30 0.21 1.31% |
| Symbol | Federated |
Federated Mid-cap '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 Federated Mid-cap'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 Federated Mid-cap.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in Federated Mid-cap on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Federated Mid Cap Index or generate 0.0% return on investment in Federated Mid-cap over 60 days. Federated Mid-cap is related to or competes with Government Street, Federated Mdt, Janus Enterprise, Victory Integrity, and Virtus Kar. The fund normally invests its assets primarily in common stocks included in the Standard Poors MidCap 400 Index More
Federated Mid-cap 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 Federated Mid-cap'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 Federated Mid Cap Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9911 | |||
| Information Ratio | 9.0E-4 | |||
| Maximum Drawdown | 3.79 | |||
| Value At Risk | (1.57) | |||
| Potential Upside | 1.48 |
Federated Mid-cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Federated Mid-cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Federated Mid-cap's standard deviation. In reality, there are many statistical measures that can use Federated Mid-cap historical prices to predict the future Federated Mid-cap's volatility.| Risk Adjusted Performance | 0.0686 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 9.0E-4 | |||
| Treynor Ratio | 0.0631 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Federated Mid-cap'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.
Federated Mid Cap Backtested Returns
We consider Federated Mid-cap very steady. Federated Mid Cap secures Sharpe Ratio (or Efficiency) of 0.0968, which denotes the fund had a 0.0968% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Federated Mid Cap Index, which you can use to evaluate the volatility of the entity. Please confirm Federated Mid-cap's Coefficient Of Variation of 953.72, downside deviation of 0.9911, and Mean Deviation of 0.734 to check if the risk estimate we provide is consistent with the expected return of 0.0892%. The fund shows a Beta (market volatility) of 1.37, which means a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Federated Mid-cap will likely underperform.
Auto-correlation | -0.61 |
Very good reverse predictability
Federated Mid Cap Index has very good reverse predictability. Overlapping area represents the amount of predictability between Federated Mid-cap time series from 24th of February 2024 to 25th of March 2024 and 25th of March 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 Federated Mid Cap price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Federated Mid-cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | -0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Federated Mid Cap lagged returns against current returns
Autocorrelation, which is Federated Mid-cap 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 Federated Mid-cap's mutual fund expected returns. We can calculate the autocorrelation of Federated Mid-cap returns to help us make a trade decision. For example, suppose you find that Federated Mid-cap 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 |
Federated Mid-cap 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 Federated Mid-cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Federated Mid-cap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Federated Mid-cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Federated Mid-cap Lagged Returns
When evaluating Federated Mid-cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Federated Mid-cap mutual fund have on its future price. Federated Mid-cap 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, Federated Mid-cap autocorrelation shows the relationship between Federated Mid-cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Federated Mid Cap Index.
Regressed Prices |
| Timeline |
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Federated Mid-cap 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.