Parnassus E Equity Fund Market Value
| PRBLX Fund | USD 57.50 0.21 0.36% |
| Symbol | Parnassus |
Parnassus '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 Parnassus' 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 Parnassus.
| 02/18/2024 |
| 04/18/2024 |
If you would invest 0.00 in Parnassus on February 18, 2024 and sell it all today you would earn a total of 0.00 from holding Parnassus E Equity or generate 0.0% return on investment in Parnassus over 60 days. Parnassus is related to or competes with T Rowe, T Rowe, T Rowe, Thrivent High, Morningstar Unconstrained, High Yield, and Via Renewables. The funds objective is to achieve both capital appreciation and current income by investing primarily in a diversified p... More
Parnassus 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 Parnassus' 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 Parnassus E Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7048 | |||
| Information Ratio | 0.0178 | |||
| Maximum Drawdown | 3.63 | |||
| Value At Risk | (1.38) | |||
| Potential Upside | 1.16 |
Parnassus Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Parnassus' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Parnassus' standard deviation. In reality, there are many statistical measures that can use Parnassus historical prices to predict the future Parnassus' volatility.| Risk Adjusted Performance | 0.0598 | |||
| Jensen Alpha | 0.0145 | |||
| Total Risk Alpha | 0.0051 | |||
| Sortino Ratio | 0.0188 | |||
| Treynor Ratio | 0.0605 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Parnassus' 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.
Parnassus E Equity Backtested Returns
We consider Parnassus very steady. Parnassus E Equity maintains Sharpe Ratio (i.e., Efficiency) of 0.0607, which implies the entity had a 0.0607% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Parnassus E Equity, which you can use to evaluate the volatility of the fund. Please check Parnassus' Semi Deviation of 0.641, risk adjusted performance of 0.0598, and Coefficient Of Variation of 1081.08 to confirm if the risk estimate we provide is consistent with the expected return of 0.0446%. The fund holds a Beta of 0.97, which implies possible diversification benefits within a given portfolio. Parnassus returns are very sensitive to returns on the market. As the market goes up or down, Parnassus is expected to follow.
Auto-correlation | -0.58 |
Good reverse predictability
Parnassus E Equity has good reverse predictability. Overlapping area represents the amount of predictability between Parnassus time series from 18th of February 2024 to 19th of March 2024 and 19th of March 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 Parnassus E Equity price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Parnassus price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.83 | |
| Residual Average | 0.0 | |
| Price Variance | 0.85 |
Parnassus E Equity lagged returns against current returns
Autocorrelation, which is Parnassus 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 Parnassus' mutual fund expected returns. We can calculate the autocorrelation of Parnassus returns to help us make a trade decision. For example, suppose you find that Parnassus 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 |
Parnassus 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 Parnassus mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Parnassus mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Parnassus mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Parnassus Lagged Returns
When evaluating Parnassus' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Parnassus mutual fund have on its future price. Parnassus 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, Parnassus autocorrelation shows the relationship between Parnassus mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Parnassus E Equity.
Regressed Prices |
| Timeline |
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Parnassus E Equity using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
Align your risk with return expectations
Check out Parnassus Correlation, Parnassus Volatility and Parnassus Alpha and Beta module to complement your research on Parnassus. You can also try the Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
Parnassus 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.