Spectrum Advisors Preferred Fund Market Value
| SAPEX Fund | USD 16.46 0.09 0.55% |
| Symbol | Spectrum |
Spectrum Advisors '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 Spectrum Advisors' 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 Spectrum Advisors.
| 01/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Spectrum Advisors on January 24, 2024 and sell it all today you would earn a total of 0.00 from holding Spectrum Advisors Preferred or generate 0.0% return on investment in Spectrum Advisors over 90 days. Spectrum Advisors is related to or competes with Columbia Income, Ashmore Emerging, Blackrock, and Invesco Limited. The funds adviser delegates execution of its investment strategy to a sub-adviser More
Spectrum Advisors 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 Spectrum Advisors' 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 Spectrum Advisors Preferred upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 4.28 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.22 |
Spectrum Advisors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Spectrum Advisors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Spectrum Advisors' standard deviation. In reality, there are many statistical measures that can use Spectrum Advisors historical prices to predict the future Spectrum Advisors' volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | (0.03) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Spectrum Advisors' 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.
Spectrum Advisors Backtested Returns
Spectrum Advisors owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0372, which indicates the fund had a -0.0372% return per unit of risk over the last 3 months. Spectrum Advisors Preferred exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Spectrum Advisors' Variance of 0.842, coefficient of variation of (3,646), and Risk Adjusted Performance of (0.01) to confirm the risk estimate we provide. The entity has a beta of 1.23, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Spectrum Advisors will likely underperform.
Auto-correlation | -0.67 |
Very good reverse predictability
Spectrum Advisors Preferred has very good reverse predictability. Overlapping area represents the amount of predictability between Spectrum Advisors time series from 24th of January 2024 to 9th of March 2024 and 9th of March 2024 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 Spectrum Advisors price movement. The serial correlation of -0.67 indicates that around 67.0% of current Spectrum Advisors price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.67 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Spectrum Advisors lagged returns against current returns
Autocorrelation, which is Spectrum Advisors 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 Spectrum Advisors' mutual fund expected returns. We can calculate the autocorrelation of Spectrum Advisors returns to help us make a trade decision. For example, suppose you find that Spectrum Advisors 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 |
Spectrum Advisors 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 Spectrum Advisors mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Spectrum Advisors mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Spectrum Advisors mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Spectrum Advisors Lagged Returns
When evaluating Spectrum Advisors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Spectrum Advisors mutual fund have on its future price. Spectrum Advisors 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, Spectrum Advisors autocorrelation shows the relationship between Spectrum Advisors mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Spectrum Advisors Preferred.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Spectrum Advisors Correlation, Spectrum Advisors Volatility and Spectrum Advisors Alpha and Beta module to complement your research on Spectrum Advisors. Note that the Spectrum Advisors information on this page should be used as a complementary analysis to other Spectrum Advisors' 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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Spectrum Advisors 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.