Siit Dynamic Asset Fund Market Value
| SDLAX Fund | USD 20.56 0.02 0.1% |
| Symbol | Siit |
Siit Dynamic '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 Siit Dynamic'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 Siit Dynamic.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Siit Dynamic on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Siit Dynamic Asset or generate 0.0% return on investment in Siit Dynamic over 30 days. Siit Dynamic is related to or competes with Morningstar Unconstrained, and SPACE. The adviser employs a dynamic investment strategy seeking to achieve, over time, a total return in excess of the broad U... More
Siit Dynamic 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 Siit Dynamic'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 Siit Dynamic Asset upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7054 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 3.03 | |||
| Value At Risk | (1.19) | |||
| Potential Upside | 1.12 |
Siit Dynamic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siit Dynamic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siit Dynamic's standard deviation. In reality, there are many statistical measures that can use Siit Dynamic historical prices to predict the future Siit Dynamic's volatility.| Risk Adjusted Performance | 0.0745 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0775 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siit Dynamic'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.
Siit Dynamic Asset Backtested Returns
We consider Siit Dynamic very steady. Siit Dynamic Asset owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0927, which indicates the fund had a 0.0927% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Siit Dynamic Asset, which you can use to evaluate the volatility of the fund. Please validate Siit Dynamic's Coefficient Of Variation of 851.61, risk adjusted performance of 0.0745, and Semi Deviation of 0.5819 to confirm if the risk estimate we provide is consistent with the expected return of 0.0672%. The entity has a beta of 0.95, which indicates possible diversification benefits within a given portfolio. Siit Dynamic returns are very sensitive to returns on the market. As the market goes up or down, Siit Dynamic is expected to follow.
Auto-correlation | 0.42 |
Average predictability
Siit Dynamic Asset has average predictability. Overlapping area represents the amount of predictability between Siit Dynamic time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Siit Dynamic Asset price movement. The serial correlation of 0.42 indicates that just about 42.0% of current Siit Dynamic price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.42 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Siit Dynamic Asset lagged returns against current returns
Autocorrelation, which is Siit Dynamic 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 Siit Dynamic's mutual fund expected returns. We can calculate the autocorrelation of Siit Dynamic returns to help us make a trade decision. For example, suppose you find that Siit Dynamic 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 |
Siit Dynamic 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 Siit Dynamic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siit Dynamic mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siit Dynamic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Siit Dynamic Lagged Returns
When evaluating Siit Dynamic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siit Dynamic mutual fund have on its future price. Siit Dynamic 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, Siit Dynamic autocorrelation shows the relationship between Siit Dynamic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Siit Dynamic Asset.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Siit Dynamic Correlation, Siit Dynamic Volatility and Siit Dynamic Alpha and Beta module to complement your research on Siit Dynamic. Note that the Siit Dynamic Asset information on this page should be used as a complementary analysis to other Siit Dynamic'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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
Siit Dynamic 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.