Pear Tree Quality Fund Market Value
| USBOX Fund | USD 22.18 0.01 0.05% |
| Symbol | Pear |
Pear Tree '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 Pear Tree'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 Pear Tree.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Pear Tree on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Pear Tree Quality or generate 0.0% return on investment in Pear Tree over 30 days. Pear Tree is related to or competes with Morningstar Unconstrained, and SPACE. Under normal market conditions, the fund invests at least 80 percent of its net assets in equity securities of U.S More
Pear Tree 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 Pear Tree'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 Pear Tree Quality upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7376 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.28 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 1.21 |
Pear Tree Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pear Tree's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pear Tree's standard deviation. In reality, there are many statistical measures that can use Pear Tree historical prices to predict the future Pear Tree's volatility.| Risk Adjusted Performance | 0.0641 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0671 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pear Tree'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.
Pear Tree Quality Backtested Returns
We consider Pear Tree very steady. Pear Tree Quality maintains Sharpe Ratio (i.e., Efficiency) of 0.0745, which implies the entity had a 0.0745% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Pear Tree Quality, which you can use to evaluate the volatility of the fund. Please check Pear Tree's Risk Adjusted Performance of 0.0641, semi deviation of 0.6324, and Coefficient Of Variation of 991.54 to confirm if the risk estimate we provide is consistent with the expected return of 0.0544%. The fund holds a Beta of 0.92, which implies possible diversification benefits within a given portfolio. Pear Tree returns are very sensitive to returns on the market. As the market goes up or down, Pear Tree is expected to follow.
Auto-correlation | 0.48 |
Average predictability
Pear Tree Quality has average predictability. Overlapping area represents the amount of predictability between Pear Tree time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Pear Tree Quality price movement. The serial correlation of 0.48 indicates that about 48.0% of current Pear Tree price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Pear Tree Quality lagged returns against current returns
Autocorrelation, which is Pear Tree 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 Pear Tree's mutual fund expected returns. We can calculate the autocorrelation of Pear Tree returns to help us make a trade decision. For example, suppose you find that Pear Tree 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 |
Pear Tree 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 Pear Tree mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pear Tree mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pear Tree mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pear Tree Lagged Returns
When evaluating Pear Tree's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pear Tree mutual fund have on its future price. Pear Tree 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, Pear Tree autocorrelation shows the relationship between Pear Tree mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pear Tree Quality.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Pear Tree Correlation, Pear Tree Volatility and Pear Tree Alpha and Beta module to complement your research on Pear Tree. You can also try the Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Pear Tree 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.