Lsv Managed Volatility Fund Market Value
| LVAMX Fund | USD 10.81 0.03 0.28% |
| Symbol | Lsv |
Lsv Us '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 Lsv Us' 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 Lsv Us.
| 03/17/2024 |
| 04/16/2024 |
If you would invest 0.00 in Lsv Us on March 17, 2024 and sell it all today you would earn a total of 0.00 from holding Lsv Managed Volatility or generate 0.0% return on investment in Lsv Us over 30 days. Lsv Us is related to or competes with Lsv Global, Lsv Global, Lsv Conservative, Lsv Emerging, Lsv Value, Lsv Global, and Lsv Global. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
Lsv Us 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 Lsv Us' 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 Lsv Managed Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6251 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.61 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 0.9488 |
Lsv Us Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lsv Us' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lsv Us' standard deviation. In reality, there are many statistical measures that can use Lsv Us historical prices to predict the future Lsv Us' volatility.| Risk Adjusted Performance | 0.056 | |||
| Jensen Alpha | (0.000095) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0526 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lsv Us' 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.
Lsv Managed Volatility Backtested Returns
We consider Lsv Us very steady. Lsv Managed Volatility has Sharpe Ratio of 0.12, which conveys 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 Lsv Us, which you can use to evaluate the volatility of the fund. Please verify Lsv Us' Risk Adjusted Performance of 0.056, downside deviation of 0.6251, and Mean Deviation of 0.426 to check out if the risk estimate we provide is consistent with the expected return of 0.0639%. The fund secures a Beta (Market Risk) of 0.76, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Lsv Us' returns are expected to increase less than the market. However, during the bear market, the loss of holding Lsv Us is expected to be smaller as well.
Auto-correlation | -0.89 |
Excellent reverse predictability
Lsv Managed Volatility has excellent reverse predictability. Overlapping area represents the amount of predictability between Lsv Us time series from 17th of March 2024 to 1st of April 2024 and 1st of April 2024 to 16th 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 Lsv Managed Volatility price movement. The serial correlation of -0.89 indicates that approximately 89.0% of current Lsv Us price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.89 | |
| Spearman Rank Test | -0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Lsv Managed Volatility lagged returns against current returns
Autocorrelation, which is Lsv Us 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 Lsv Us' mutual fund expected returns. We can calculate the autocorrelation of Lsv Us returns to help us make a trade decision. For example, suppose you find that Lsv Us 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 |
Lsv Us 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 Lsv Us mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lsv Us mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lsv Us mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Lsv Us Lagged Returns
When evaluating Lsv Us' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lsv Us mutual fund have on its future price. Lsv Us 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, Lsv Us autocorrelation shows the relationship between Lsv Us mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Lsv 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 Lsv Us 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, Lsv Us' short interest history, or implied volatility extrapolated from Lsv Us options trading.
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Lsv Us 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.