Intech Managed Volatility Fund Market Value
| JRSIX Fund | USD 10.45 0.01 0.1% |
| Symbol | Intech |
Intech Managed '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 Intech Managed'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 Intech Managed.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Intech Managed on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Intech Managed Volatility or generate 0.0% return on investment in Intech Managed over 30 days. Intech Managed is related to or competes with Morningstar Unconstrained, and SPACE. The fund invests, under normal circumstances, at least 80 percent of its net assets in equity securities of U.S More
Intech Managed 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 Intech Managed'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 Intech Managed Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6872 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 2.97 | |||
| Value At Risk | (1.14) | |||
| Potential Upside | 0.9524 |
Intech Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Intech Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Intech Managed's standard deviation. In reality, there are many statistical measures that can use Intech Managed historical prices to predict the future Intech Managed's volatility.| Risk Adjusted Performance | 0.0571 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0561 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Intech Managed'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.
Intech Managed Volatility Backtested Returns
We consider Intech Managed very steady. Intech Managed Volatility holds Efficiency (Sharpe) Ratio of 0.08, which attests that the entity had a 0.08% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Intech Managed Volatility, which you can use to evaluate the volatility of the entity. Please check out Intech Managed's Market Risk Adjusted Performance of 0.0661, downside deviation of 0.6872, and Risk Adjusted Performance of 0.0571 to validate if the risk estimate we provide is consistent with the expected return of 0.0523%. The fund retains a Market Volatility (i.e., Beta) of 0.86, which attests to possible diversification benefits within a given portfolio. Intech Managed returns are very sensitive to returns on the market. As the market goes up or down, Intech Managed is expected to follow.
Auto-correlation | 0.52 |
Modest predictability
Intech Managed Volatility has modest predictability. Overlapping area represents the amount of predictability between Intech Managed time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Intech Managed Volatility price movement. The serial correlation of 0.52 indicates that about 52.0% of current Intech Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.52 | |
| Spearman Rank Test | 0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Intech Managed Volatility lagged returns against current returns
Autocorrelation, which is Intech Managed 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 Intech Managed's mutual fund expected returns. We can calculate the autocorrelation of Intech Managed returns to help us make a trade decision. For example, suppose you find that Intech Managed 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 |
Intech Managed 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 Intech Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Intech Managed mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Intech Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Intech Managed Lagged Returns
When evaluating Intech Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Intech Managed mutual fund have on its future price. Intech Managed 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, Intech Managed autocorrelation shows the relationship between Intech Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Intech Managed Volatility.
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 Intech Managed 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, Intech Managed's short interest history, or implied volatility extrapolated from Intech Managed options trading.
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Intech Managed 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.