Natixis Sustainable Future Fund Market Value
| NSFFX Fund | USD 11.50 0.01 0.09% |
| Symbol | Natixis |
Natixis Sustainable '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 Natixis Sustainable'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 Natixis Sustainable.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Natixis Sustainable on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Natixis Sustainable Future or generate 0.0% return on investment in Natixis Sustainable over 30 days. Natixis Sustainable is related to or competes with Fidelity Freedom, T Rowe, HUMANA, Barloworld, Thrivent High, Morningstar Unconstrained, and High Yield. The advisor employs an asset allocation strategy designed for investors planning to retire within a few years of the tar... More
Natixis Sustainable 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 Natixis Sustainable'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 Natixis Sustainable Future upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5844 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.21 | |||
| Value At Risk | (0.85) | |||
| Potential Upside | 0.8489 |
Natixis Sustainable Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Natixis Sustainable's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Natixis Sustainable's standard deviation. In reality, there are many statistical measures that can use Natixis Sustainable historical prices to predict the future Natixis Sustainable's volatility.| Risk Adjusted Performance | 0.0369 | |||
| Jensen Alpha | 0.0176 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.2316 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Natixis Sustainable'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.
Natixis Sustainable Backtested Returns
We consider Natixis Sustainable very steady. Natixis Sustainable has Sharpe Ratio of 0.0666, which conveys that the entity had a 0.0666% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Natixis Sustainable, which you can use to evaluate the volatility of the fund. Please verify Natixis Sustainable's Downside Deviation of 0.5844, risk adjusted performance of 0.0369, and Mean Deviation of 0.399 to check out if the risk estimate we provide is consistent with the expected return of 0.0333%. The fund secures a Beta (Market Risk) of 0.0946, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Natixis Sustainable's returns are expected to increase less than the market. However, during the bear market, the loss of holding Natixis Sustainable is expected to be smaller as well.
Auto-correlation | 0.03 |
Virtually no predictability
Natixis Sustainable Future has virtually no predictability. Overlapping area represents the amount of predictability between Natixis Sustainable time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Natixis Sustainable price movement. The serial correlation of 0.03 indicates that only 3.0% of current Natixis Sustainable price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | -0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Natixis Sustainable lagged returns against current returns
Autocorrelation, which is Natixis Sustainable 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 Natixis Sustainable's mutual fund expected returns. We can calculate the autocorrelation of Natixis Sustainable returns to help us make a trade decision. For example, suppose you find that Natixis Sustainable 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 |
Natixis Sustainable 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 Natixis Sustainable mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Natixis Sustainable mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Natixis Sustainable mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Natixis Sustainable Lagged Returns
When evaluating Natixis Sustainable's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Natixis Sustainable mutual fund have on its future price. Natixis Sustainable 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, Natixis Sustainable autocorrelation shows the relationship between Natixis Sustainable mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Natixis Sustainable Future.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Natixis Sustainable Correlation, Natixis Sustainable Volatility and Natixis Sustainable Alpha and Beta module to complement your research on Natixis Sustainable. Note that the Natixis Sustainable information on this page should be used as a complementary analysis to other Natixis Sustainable'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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
Natixis Sustainable 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.