Hotchkis Wiley Diversified Fund Market Value
| HWCCX Fund | USD 30.03 0.10 0.33% |
| Symbol | Hotchkis |
Hotchkis Wiley '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 Hotchkis Wiley'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 Hotchkis Wiley.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Hotchkis Wiley on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Hotchkis Wiley Diversified or generate 0.0% return on investment in Hotchkis Wiley over 30 days. Hotchkis Wiley is related to or competes with Hw Opportunities, Hotchkis Wiley, Hotchkis Wiley, Hotchkis Wiley, Hotchkis Wiley, Hotchkis Wiley, and Hotchkis Wiley. The fund normally invests in equity securities of large capitalization companies that are considered by the Advisor to b... More
Hotchkis Wiley 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 Hotchkis Wiley'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 Hotchkis Wiley Diversified upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8576 | |||
| Information Ratio | 0.0316 | |||
| Maximum Drawdown | 3.38 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 1.21 |
Hotchkis Wiley Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Hotchkis Wiley's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Hotchkis Wiley's standard deviation. In reality, there are many statistical measures that can use Hotchkis Wiley historical prices to predict the future Hotchkis Wiley's volatility.| Risk Adjusted Performance | 0.0812 | |||
| Jensen Alpha | 0.023 | |||
| Total Risk Alpha | 0.0143 | |||
| Sortino Ratio | 0.0258 | |||
| Treynor Ratio | 0.082 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Hotchkis Wiley'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.
Hotchkis Wiley Diver Backtested Returns
We consider Hotchkis Wiley very steady. Hotchkis Wiley Diver holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Hotchkis Wiley Diver, which you can use to evaluate the volatility of the entity. Please check out Hotchkis Wiley's Risk Adjusted Performance of 0.0812, market risk adjusted performance of 0.092, and Downside Deviation of 0.8576 to validate if the risk estimate we provide is consistent with the expected return of 0.0831%. The fund retains a Market Volatility (i.e., Beta) of 0.99, which attests to possible diversification benefits within a given portfolio. Hotchkis Wiley returns are very sensitive to returns on the market. As the market goes up or down, Hotchkis Wiley is expected to follow.
Auto-correlation | -0.56 |
Good reverse predictability
Hotchkis Wiley Diversified has good reverse predictability. Overlapping area represents the amount of predictability between Hotchkis Wiley 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 Hotchkis Wiley Diver price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Hotchkis Wiley price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.56 | |
| Spearman Rank Test | -0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 0.3 |
Hotchkis Wiley Diver lagged returns against current returns
Autocorrelation, which is Hotchkis Wiley 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 Hotchkis Wiley's mutual fund expected returns. We can calculate the autocorrelation of Hotchkis Wiley returns to help us make a trade decision. For example, suppose you find that Hotchkis Wiley 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 |
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Hotchkis Wiley 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 Hotchkis Wiley mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Hotchkis Wiley mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Hotchkis Wiley mutual fund over time.
Current vs Lagged Prices |
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Hotchkis Wiley Lagged Returns
When evaluating Hotchkis Wiley's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Hotchkis Wiley mutual fund have on its future price. Hotchkis Wiley 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, Hotchkis Wiley autocorrelation shows the relationship between Hotchkis Wiley mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Hotchkis Wiley Diversified.
Regressed Prices |
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Try AI Portfolio ArchitectCheck out Hotchkis Wiley Correlation, Hotchkis Wiley Volatility and Hotchkis Wiley Alpha and Beta module to complement your research on Hotchkis Wiley. Note that the Hotchkis Wiley Diver information on this page should be used as a complementary analysis to other Hotchkis Wiley'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 Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
Hotchkis Wiley 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.