Energy Basic Materials Fund Market Value
| SEPCX Fund | USD 10.87 0.02 0.18% |
| Symbol | Energy |
Energy Basic '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 Energy Basic'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 Energy Basic.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Energy Basic on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Energy Basic Materials or generate 0.0% return on investment in Energy Basic over 30 days. Energy Basic is related to or competes with T Rowe. The fund will normally invest at least 80 percent of its total assets in equity securities issued by U.S More
Energy Basic 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 Energy Basic'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 Energy Basic Materials upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8137 | |||
| Information Ratio | 0.0942 | |||
| Maximum Drawdown | 3.6 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.21 |
Energy Basic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Energy Basic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Energy Basic's standard deviation. In reality, there are many statistical measures that can use Energy Basic historical prices to predict the future Energy Basic's volatility.| Risk Adjusted Performance | 0.1375 | |||
| Jensen Alpha | 0.0876 | |||
| Total Risk Alpha | 0.0524 | |||
| Sortino Ratio | 0.0895 | |||
| Treynor Ratio | 0.1912 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Energy Basic'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.
Energy Basic Materials Backtested Returns
We consider Energy Basic very steady. Energy Basic Materials secures Sharpe Ratio (or Efficiency) of 0.18, which denotes the fund had a 0.18% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Energy Basic Materials, which you can use to evaluate the volatility of the entity. Please confirm Energy Basic's Mean Deviation of 0.6106, downside deviation of 0.8137, and Coefficient Of Variation of 459.88 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 0.83, which means possible diversification benefits within a given portfolio. As returns on the market increase, Energy Basic's returns are expected to increase less than the market. However, during the bear market, the loss of holding Energy Basic is expected to be smaller as well.
Auto-correlation | -0.79 |
Almost perfect reverse predictability
Energy Basic Materials has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Energy Basic 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 Energy Basic Materials price movement. The serial correlation of -0.79 indicates that around 79.0% of current Energy Basic price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.79 | |
| Spearman Rank Test | -0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Energy Basic Materials lagged returns against current returns
Autocorrelation, which is Energy Basic 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 Energy Basic's mutual fund expected returns. We can calculate the autocorrelation of Energy Basic returns to help us make a trade decision. For example, suppose you find that Energy Basic 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 |
Energy Basic 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 Energy Basic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Energy Basic mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Energy Basic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Energy Basic Lagged Returns
When evaluating Energy Basic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Energy Basic mutual fund have on its future price. Energy Basic 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, Energy Basic autocorrelation shows the relationship between Energy Basic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Energy Basic Materials.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Energy Basic Correlation, Energy Basic Volatility and Energy Basic Alpha and Beta module to complement your research on Energy Basic. Note that the Energy Basic Materials information on this page should be used as a complementary analysis to other Energy Basic'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 Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Energy Basic 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.