Sierra Strategic Income Fund Market Value
| SSIZX Fund | USD 19.79 0.05 0.25% |
| Symbol | Sierra |
Sierra Strategic '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 Sierra Strategic'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 Sierra Strategic.
| 06/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Sierra Strategic on June 28, 2023 and sell it all today you would earn a total of 0.00 from holding Sierra Strategic Income or generate 0.0% return on investment in Sierra Strategic over 300 days. Sierra Strategic is related to or competes with Sierra Strategic, Sierra E, Cohen, Fidelity 500, Vanguard Equity, Fidelity Freedom, and Invesco Floating. The fund invests in open-end investment companies , exchange-traded funds More
Sierra Strategic 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 Sierra Strategic'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 Sierra Strategic Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3015 | |||
| Information Ratio | (0.38) | |||
| Maximum Drawdown | 1.2 | |||
| Value At Risk | (0.50) | |||
| Potential Upside | 0.2536 |
Sierra Strategic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sierra Strategic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sierra Strategic's standard deviation. In reality, there are many statistical measures that can use Sierra Strategic historical prices to predict the future Sierra Strategic's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.28) | |||
| Treynor Ratio | (0.04) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sierra Strategic'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.
Sierra Strategic Backtested Returns
We consider Sierra Strategic very steady. Sierra Strategic owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0186, which indicates the fund had a 0.0186% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Sierra Strategic Income, which you can use to evaluate the volatility of the fund. Please validate Sierra Strategic's Coefficient Of Variation of 89732.31, semi deviation of 0.2457, and Risk Adjusted Performance of (0.02) to confirm if the risk estimate we provide is consistent with the expected return of 0.0043%. The entity has a beta of 0.23, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Sierra Strategic's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sierra Strategic is expected to be smaller as well.
Auto-correlation | -0.54 |
Good reverse predictability
Sierra Strategic Income has good reverse predictability. Overlapping area represents the amount of predictability between Sierra Strategic time series from 28th of June 2023 to 25th of November 2023 and 25th of November 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 Sierra Strategic price movement. The serial correlation of -0.54 indicates that about 54.0% of current Sierra Strategic price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Sierra Strategic lagged returns against current returns
Autocorrelation, which is Sierra Strategic 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 Sierra Strategic's mutual fund expected returns. We can calculate the autocorrelation of Sierra Strategic returns to help us make a trade decision. For example, suppose you find that Sierra Strategic 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 |
Sierra Strategic 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 Sierra Strategic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sierra Strategic mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sierra Strategic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Sierra Strategic Lagged Returns
When evaluating Sierra Strategic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sierra Strategic mutual fund have on its future price. Sierra Strategic 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, Sierra Strategic autocorrelation shows the relationship between Sierra Strategic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Sierra Strategic Income.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Sierra Strategic Correlation, Sierra Strategic Volatility and Sierra Strategic Alpha and Beta module to complement your research on Sierra Strategic. Note that the Sierra Strategic information on this page should be used as a complementary analysis to other Sierra Strategic'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 AI Portfolio Architect module to use AI to generate optimal portfolios and find profitable investment opportunities.
Sierra Strategic 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.