Matrix Advisors Value Fund Market Value
| MAVFX Fund | USD 89.09 0.01 0.01% |
| Symbol | Matrix |
Matrix Advisors '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 Matrix Advisors' 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 Matrix Advisors.
| 10/22/2023 |
| 04/19/2024 |
If you would invest 0.00 in Matrix Advisors on October 22, 2023 and sell it all today you would earn a total of 0.00 from holding Matrix Advisors Value or generate 0.0% return on investment in Matrix Advisors over 180 days. Matrix Advisors is related to or competes with Madison Investors, Sound Shore, Fam Value, and Jensen Portfolio. The fund invests primarily in both dividend and non-dividend paying common stocks of U.S More
Matrix Advisors 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 Matrix Advisors' 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 Matrix Advisors Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8498 | |||
| Information Ratio | 0.0035 | |||
| Maximum Drawdown | 3.42 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 1.16 |
Matrix Advisors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Matrix Advisors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Matrix Advisors' standard deviation. In reality, there are many statistical measures that can use Matrix Advisors historical prices to predict the future Matrix Advisors' volatility.| Risk Adjusted Performance | 0.0626 | |||
| Jensen Alpha | 0.0047 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.003 | |||
| Treynor Ratio | 0.0635 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Matrix Advisors' 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.
Matrix Advisors Value Backtested Returns
We consider Matrix Advisors very steady. Matrix Advisors Value has Sharpe Ratio of 0.0671, which conveys that the entity had a 0.0671% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Matrix Advisors, which you can use to evaluate the volatility of the fund. Please verify Matrix Advisors' Downside Deviation of 0.8498, risk adjusted performance of 0.0626, and Mean Deviation of 0.5527 to check out if the risk estimate we provide is consistent with the expected return of 0.0471%. The fund secures a Beta (Market Risk) of 0.96, which conveys possible diversification benefits within a given portfolio. Matrix Advisors returns are very sensitive to returns on the market. As the market goes up or down, Matrix Advisors is expected to follow.
Auto-correlation | 0.82 |
Very good predictability
Matrix Advisors Value has very good predictability. Overlapping area represents the amount of predictability between Matrix Advisors time series from 22nd of October 2023 to 20th of January 2024 and 20th of January 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 Matrix Advisors Value price movement. The serial correlation of 0.82 indicates that around 82.0% of current Matrix Advisors price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 3.18 |
Matrix Advisors Value lagged returns against current returns
Autocorrelation, which is Matrix Advisors 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 Matrix Advisors' mutual fund expected returns. We can calculate the autocorrelation of Matrix Advisors returns to help us make a trade decision. For example, suppose you find that Matrix Advisors 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 |
Matrix Advisors 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 Matrix Advisors mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Matrix Advisors mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Matrix Advisors mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Matrix Advisors Lagged Returns
When evaluating Matrix Advisors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Matrix Advisors mutual fund have on its future price. Matrix Advisors 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, Matrix Advisors autocorrelation shows the relationship between Matrix Advisors mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Matrix Advisors Value.
Regressed Prices |
| Timeline |
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Matrix Advisors 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.