Us Defensive Equity Fund Market Value
| REQTX Fund | USD 46.40 0.10 0.22% |
| Symbol | REQTX |
Us Defensive '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 Us Defensive'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 Us Defensive.
| 02/13/2024 |
| 05/13/2024 |
If you would invest 0.00 in Us Defensive on February 13, 2024 and sell it all today you would earn a total of 0.00 from holding Us Defensive Equity or generate 0.0% return on investment in Us Defensive over 90 days. Us Defensive is related to or competes with Tax-managed, Small-midcap Dividend, Franklin Small, Foundry Partners, Vanguard Small-cap, and Scout Small. The fund has a non-fundamental policy to invest, under normal circumstances, at least 80 percent of the value of its net... More
Us Defensive 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 Us Defensive'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 Us Defensive Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6841 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.17 | |||
| Value At Risk | (1.18) | |||
| Potential Upside | 1.03 |
Us Defensive Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Us Defensive's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Us Defensive's standard deviation. In reality, there are many statistical measures that can use Us Defensive historical prices to predict the future Us Defensive's volatility.| Risk Adjusted Performance | 0.0549 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.054 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Us Defensive'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.
Us Defensive Equity Backtested Returns
We consider Us Defensive very steady. Us Defensive Equity retains Efficiency (Sharpe Ratio) of 0.0879, which indicates the fund had a 0.0879% return per unit of price deviation over the last 3 months. We have found twenty-eight technical indicators for Us Defensive, which you can use to evaluate the volatility of the fund. Please validate Us Defensive's Downside Deviation of 0.6841, risk adjusted performance of 0.0549, and Mean Deviation of 0.5237 to confirm if the risk estimate we provide is consistent with the expected return of 0.0582%. The entity owns a Beta (Systematic Risk) of 0.89, which indicates possible diversification benefits within a given portfolio. Us Defensive returns are very sensitive to returns on the market. As the market goes up or down, Us Defensive is expected to follow.
Auto-correlation | -0.24 |
Weak reverse predictability
Us Defensive Equity has weak reverse predictability. Overlapping area represents the amount of predictability between Us Defensive time series from 13th of February 2024 to 29th of March 2024 and 29th of March 2024 to 13th of May 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 Us Defensive Equity price movement. The serial correlation of -0.24 indicates that over 24.0% of current Us Defensive price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.43 |
Us Defensive Equity lagged returns against current returns
Autocorrelation, which is Us Defensive 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 Us Defensive's mutual fund expected returns. We can calculate the autocorrelation of Us Defensive returns to help us make a trade decision. For example, suppose you find that Us Defensive 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 |
Us Defensive 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 Us Defensive mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Us Defensive mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Us Defensive mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Us Defensive Lagged Returns
When evaluating Us Defensive's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Us Defensive mutual fund have on its future price. Us Defensive 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, Us Defensive autocorrelation shows the relationship between Us Defensive mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Us Defensive Equity.
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 Us Defensive 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, Us Defensive's short interest history, or implied volatility extrapolated from Us Defensive options trading.
Currently Active Assets on Macroaxis
Check out Us Defensive Correlation, Us Defensive Volatility and Us Defensive Alpha and Beta module to complement your research on Us Defensive. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Us Defensive 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.