Amg Timessquare Mid Fund Market Value
| TMDPX Fund | USD 15.63 0.11 0.70% |
| Symbol | Amg |
Amg Timessquare '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 Amg Timessquare'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 Amg Timessquare.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Amg Timessquare on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Amg Timessquare Mid or generate 0.0% return on investment in Amg Timessquare over 30 days. Amg Timessquare is related to or competes with Classic Value, Invesco Global, Cambiar Opportunity, Touchstone Sustainability, and Delaware Value. The fund invests at least 80 percent of its net assets, plus the amount of any borrowings for investment purposes, in co... More
Amg Timessquare 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 Amg Timessquare'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 Amg Timessquare Mid upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9787 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.68 | |||
| Value At Risk | (1.50) | |||
| Potential Upside | 1.19 |
Amg Timessquare Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amg Timessquare's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amg Timessquare's standard deviation. In reality, there are many statistical measures that can use Amg Timessquare historical prices to predict the future Amg Timessquare's volatility.| Risk Adjusted Performance | 0.0375 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.035 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Amg Timessquare'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.
Amg Timessquare Mid Backtested Returns
We consider Amg Timessquare very steady. Amg Timessquare Mid secures Sharpe Ratio (or Efficiency) of 0.0031, which signifies that the fund had a 0.0031% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Amg Timessquare Mid, which you can use to evaluate the volatility of the entity. Please confirm Amg Timessquare's mean deviation of 0.6805, and Risk Adjusted Performance of 0.0375 to double-check if the risk estimate we provide is consistent with the expected return of 0.0027%. The fund shows a Beta (market volatility) of 1.1, which signifies a somewhat significant risk relative to the market. Amg Timessquare returns are very sensitive to returns on the market. As the market goes up or down, Amg Timessquare is expected to follow.
Auto-correlation | 0.63 |
Good predictability
Amg Timessquare Mid has good predictability. Overlapping area represents the amount of predictability between Amg Timessquare time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Amg Timessquare Mid price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Amg Timessquare price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Amg Timessquare Mid lagged returns against current returns
Autocorrelation, which is Amg Timessquare 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 Amg Timessquare's mutual fund expected returns. We can calculate the autocorrelation of Amg Timessquare returns to help us make a trade decision. For example, suppose you find that Amg Timessquare 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 |
Amg Timessquare 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 Amg Timessquare mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amg Timessquare mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amg Timessquare mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Amg Timessquare Lagged Returns
When evaluating Amg Timessquare's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amg Timessquare mutual fund have on its future price. Amg Timessquare 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, Amg Timessquare autocorrelation shows the relationship between Amg Timessquare mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Amg Timessquare Mid.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Amg Timessquare Correlation, Amg Timessquare Volatility and Amg Timessquare Alpha and Beta module to complement your research on Amg Timessquare. You can also try the Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Amg Timessquare 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.