Swan Defined Risk Fund Market Value
| SDRIX Fund | USD 14.12 0.09 0.63% |
| Symbol | Swan |
Swan Defined '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 Swan Defined'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 Swan Defined.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Swan Defined on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Swan Defined Risk or generate 0.0% return on investment in Swan Defined over 30 days. Swan Defined is related to or competes with Gabelli Equity, Fidelity Freedom, Fidelity 500, Invesco Floating, Cohen, Disney, and Boeing. The fund seeks to achieve its investment objective by investing directly, or indirectly through exchange traded funds , in equity securities that are represented in the SP 500 Index, exchange-traded long-term put options on the SP 500 Index for hedging purposes, and buying and selling exchange-traded put and call options on various equity indices to generate additional returns. More
Swan Defined 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 Swan Defined'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 Swan Defined Risk upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5937 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 2.28 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 0.8236 |
Swan Defined Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Swan Defined's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Swan Defined's standard deviation. In reality, there are many statistical measures that can use Swan Defined historical prices to predict the future Swan Defined's volatility.| Risk Adjusted Performance | 0.0279 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.10) | |||
| Treynor Ratio | 0.0209 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Swan Defined'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.
Swan Defined Risk Backtested Returns
We consider Swan Defined very steady. Swan Defined Risk owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0135, which indicates the fund had a 0.0135% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Swan Defined Risk, which you can use to evaluate the volatility of the fund. Please validate Swan Defined's Coefficient Of Variation of 2060.2, risk adjusted performance of 0.0279, and Semi Deviation of 0.4995 to confirm if the risk estimate we provide is consistent with the expected return of 0.0071%. The entity has a beta of 0.72, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Swan Defined's returns are expected to increase less than the market. However, during the bear market, the loss of holding Swan Defined is expected to be smaller as well.
Auto-correlation | 0.59 |
Modest predictability
Swan Defined Risk has modest predictability. Overlapping area represents the amount of predictability between Swan Defined time series from 24th of March 2024 to 8th of April 2024 and 8th of April 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 Swan Defined Risk price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Swan Defined price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Swan Defined Risk lagged returns against current returns
Autocorrelation, which is Swan Defined 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 Swan Defined's mutual fund expected returns. We can calculate the autocorrelation of Swan Defined returns to help us make a trade decision. For example, suppose you find that Swan Defined 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 |
Swan Defined 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 Swan Defined mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Swan Defined mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Swan Defined mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Swan Defined Lagged Returns
When evaluating Swan Defined's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Swan Defined mutual fund have on its future price. Swan Defined 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, Swan Defined autocorrelation shows the relationship between Swan Defined mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Swan Defined Risk.
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 Swan Defined 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, Swan Defined's short interest history, or implied volatility extrapolated from Swan Defined options trading.
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Check out Swan Defined Correlation, Swan Defined Volatility and Swan Defined Alpha and Beta module to complement your research on Swan Defined. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Swan Defined 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.