Financials Ultrasector Profund Fund Market Value
| FNPSX Fund | USD 26.29 0.15 0.57% |
| Symbol | Financials |
Financials Ultrasector '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 Financials Ultrasector'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 Financials Ultrasector.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Financials Ultrasector on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Financials Ultrasector Profund or generate 0.0% return on investment in Financials Ultrasector over 30 days. Financials Ultrasector is related to or competes with Simt Multi, Short Duration, Arrow Managed, Ab Bond, Ab Bond, and Ab Bond. The fund invests in financial instruments that the fund advisors believes, in combination, should produce daily returns ... More
Financials Ultrasector 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 Financials Ultrasector'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 Financials Ultrasector Profund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | 0.055 | |||
| Maximum Drawdown | 4.7 | |||
| Value At Risk | (1.85) | |||
| Potential Upside | 1.86 |
Financials Ultrasector Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Financials Ultrasector's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Financials Ultrasector's standard deviation. In reality, there are many statistical measures that can use Financials Ultrasector historical prices to predict the future Financials Ultrasector's volatility.| Risk Adjusted Performance | 0.0718 | |||
| Jensen Alpha | 0.0402 | |||
| Total Risk Alpha | 0.0274 | |||
| Sortino Ratio | 0.0497 | |||
| Treynor Ratio | 0.0743 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Financials Ultrasector'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.
Financials Ultrasector Backtested Returns
We consider Financials Ultrasector very steady. Financials Ultrasector secures Sharpe Ratio (or Efficiency) of 0.0951, which denotes the fund had a 0.0951% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Financials Ultrasector Profund, which you can use to evaluate the volatility of the entity. Please confirm Financials Ultrasector's Mean Deviation of 0.8206, downside deviation of 1.17, and Coefficient Of Variation of 929.94 to check if the risk estimate we provide is consistent with the expected return of 0.0978%. The fund shows a Beta (market volatility) of 1.4, 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, Financials Ultrasector will likely underperform.
Auto-correlation | -0.5 |
Modest reverse predictability
Financials Ultrasector Profund has modest reverse predictability. Overlapping area represents the amount of predictability between Financials Ultrasector time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Financials Ultrasector price movement. The serial correlation of -0.5 indicates that about 50.0% of current Financials Ultrasector price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.5 | |
| Spearman Rank Test | -0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 0.65 |
Financials Ultrasector lagged returns against current returns
Autocorrelation, which is Financials Ultrasector 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 Financials Ultrasector's mutual fund expected returns. We can calculate the autocorrelation of Financials Ultrasector returns to help us make a trade decision. For example, suppose you find that Financials Ultrasector 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 |
Financials Ultrasector 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 Financials Ultrasector mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Financials Ultrasector mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Financials Ultrasector mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Financials Ultrasector Lagged Returns
When evaluating Financials Ultrasector's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Financials Ultrasector mutual fund have on its future price. Financials Ultrasector 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, Financials Ultrasector autocorrelation shows the relationship between Financials Ultrasector mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Financials Ultrasector Profund.
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 Financials Ultrasector 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, Financials Ultrasector's short interest history, or implied volatility extrapolated from Financials Ultrasector 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 Financials Ultrasector Correlation, Financials Ultrasector Volatility and Financials Ultrasector Alpha and Beta module to complement your research on Financials Ultrasector. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Financials Ultrasector 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.