Amg Frontier Small Fund Market Value
| MSSYX Fund | USD 9.44 0.10 1.05% |
| Symbol | Amg |
Amg Frontier '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 Amg Frontier'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 Amg Frontier.
| 01/21/2024 |
| 04/20/2024 |
If you would invest 0.00 in Amg Frontier on January 21, 2024 and sell it all today you would earn a total of 0.00 from holding Amg Frontier Small or generate 0.0% return on investment in Amg Frontier over 90 days. Amg Frontier is related to or competes with Columbia Small, and Baron Discovery. The fund normally invests at least 80 percent of its net assets, plus the amount of any borrowings for investment purpos... More
Amg Frontier 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 Amg Frontier'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 Amg Frontier Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.42 | |||
| Information Ratio | 0.0238 | |||
| Maximum Drawdown | 7.06 | |||
| Value At Risk | (2.08) | |||
| Potential Upside | 1.81 |
Amg Frontier Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amg Frontier's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amg Frontier's standard deviation. In reality, there are many statistical measures that can use Amg Frontier historical prices to predict the future Amg Frontier's volatility.| Risk Adjusted Performance | 0.0593 | |||
| Jensen Alpha | 0.109 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0221 | |||
| Treynor Ratio | (3.67) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Amg Frontier'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.
Amg Frontier Small Backtested Returns
We consider Amg Frontier not too volatile. Amg Frontier Small secures Sharpe Ratio (or Efficiency) of 0.0443, which signifies that the fund had a 0.0443% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Amg Frontier Small, which you can use to evaluate the volatility of the entity. Please confirm Amg Frontier's mean deviation of 1.04, and Risk Adjusted Performance of 0.0593 to double-check if the risk estimate we provide is consistent with the expected return of 0.058%. The fund shows a Beta (market volatility) of -0.0291, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Amg Frontier are expected to decrease at a much lower rate. During the bear market, Amg Frontier is likely to outperform the market.
Auto-correlation | -0.05 |
Very weak reverse predictability
Amg Frontier Small has very weak reverse predictability. Overlapping area represents the amount of predictability between Amg Frontier time series from 21st of January 2024 to 6th of March 2024 and 6th of March 2024 to 20th 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 Amg Frontier Small price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Amg Frontier price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.05 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Amg Frontier Small lagged returns against current returns
Autocorrelation, which is Amg Frontier 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 Amg Frontier's mutual fund expected returns. We can calculate the autocorrelation of Amg Frontier returns to help us make a trade decision. For example, suppose you find that Amg Frontier 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 |
Amg Frontier 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 Amg Frontier mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amg Frontier mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amg Frontier mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Amg Frontier Lagged Returns
When evaluating Amg Frontier's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amg Frontier mutual fund have on its future price. Amg Frontier 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, Amg Frontier autocorrelation shows the relationship between Amg Frontier mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Amg Frontier Small.
Regressed Prices |
| Timeline |
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Amg Frontier 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.