Davis Financial Fund Market Value
| RPFGX Fund | USD 55.78 0.89 1.62% |
| Symbol | Davis |
Davis Financial '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 Davis Financial'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 Davis Financial.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Davis Financial on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding Davis Financial Fund or generate 0.0% return on investment in Davis Financial over 270 days. Davis Financial is related to or competes with Davis International, Davis International, Davis International, Davis Appreciation, Davis Real, Davis Opportunity, and Davis New. The funds investment adviser uses the Davis Investment Discipline to invest at least 80 percent of the funds net assets,... More
Davis Financial 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 Davis Financial'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 Davis Financial Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9238 | |||
| Information Ratio | 0.0764 | |||
| Maximum Drawdown | 4.16 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 1.8 |
Davis Financial Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Davis Financial's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Davis Financial's standard deviation. In reality, there are many statistical measures that can use Davis Financial historical prices to predict the future Davis Financial's volatility.| Risk Adjusted Performance | 0.1089 | |||
| Jensen Alpha | 0.0641 | |||
| Total Risk Alpha | 0.034 | |||
| Sortino Ratio | 0.0731 | |||
| Treynor Ratio | 0.1367 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Davis Financial'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.
Davis Financial Backtested Returns
We consider Davis Financial very steady. Davis Financial secures Sharpe Ratio (or Efficiency) of 0.15, which denotes the fund had a 0.15% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Davis Financial Fund, which you can use to evaluate the volatility of the entity. Please confirm Davis Financial's Downside Deviation of 0.9238, mean deviation of 0.6706, and Coefficient Of Variation of 578.16 to check if the risk estimate we provide is consistent with the expected return of 0.14%. The fund shows a Beta (market volatility) of 1.05, which means a somewhat significant risk relative to the market. Davis Financial returns are very sensitive to returns on the market. As the market goes up or down, Davis Financial is expected to follow.
Auto-correlation | -0.39 |
Poor reverse predictability
Davis Financial Fund has poor reverse predictability. Overlapping area represents the amount of predictability between Davis Financial time series from 28th of July 2023 to 10th of December 2023 and 10th of December 2023 to 23rd 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 Davis Financial price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Davis Financial price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 4.01 |
Davis Financial lagged returns against current returns
Autocorrelation, which is Davis Financial 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 Davis Financial's mutual fund expected returns. We can calculate the autocorrelation of Davis Financial returns to help us make a trade decision. For example, suppose you find that Davis Financial 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 |
Davis Financial 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 Davis Financial mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Davis Financial mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Davis Financial mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Davis Financial Lagged Returns
When evaluating Davis Financial's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Davis Financial mutual fund have on its future price. Davis Financial 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, Davis Financial autocorrelation shows the relationship between Davis Financial mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Davis Financial Fund.
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 Davis Financial 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, Davis Financial's short interest history, or implied volatility extrapolated from Davis Financial options trading.
Currently Active Assets on Macroaxis
Check out Davis Financial Correlation, Davis Financial Volatility and Davis Financial Alpha and Beta module to complement your research on Davis Financial. Note that the Davis Financial information on this page should be used as a complementary analysis to other Davis Financial'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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
Davis Financial 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.