Ivy Mid Cap Fund Market Value
| WMGYX Fund | USD 27.86 0.24 0.87% |
| Symbol | Ivy |
Ivy Mid '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 Ivy Mid'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 Ivy Mid.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Ivy Mid on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Ivy Mid Cap or generate 0.0% return on investment in Ivy Mid over 30 days. Ivy Mid is related to or competes with Ivy High, Ivy Science, Ivy Small, Janus Triton, and Victory Sycamore. The fund seeks to achieve its objective by investing primarily in common stocks of mid-capitalization companies that the... More
Ivy Mid 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 Ivy Mid'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 Ivy Mid Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.27 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 5.62 | |||
| Value At Risk | (2.02) | |||
| Potential Upside | 1.52 |
Ivy Mid Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ivy Mid's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ivy Mid's standard deviation. In reality, there are many statistical measures that can use Ivy Mid historical prices to predict the future Ivy Mid's volatility.| Risk Adjusted Performance | 0.0103 | |||
| Jensen Alpha | (0.10) | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 4.0E-4 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ivy Mid'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.
Ivy Mid Cap Backtested Returns
Ivy Mid Cap holds Efficiency (Sharpe) Ratio of -0.0192, which attests that the entity had a -0.0192% return per unit of risk over the last 3 months. Ivy Mid Cap exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Ivy Mid's Downside Deviation of 1.27, risk adjusted performance of 0.0103, and Market Risk Adjusted Performance of 0.0104 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 1.34, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Ivy Mid will likely underperform.
Auto-correlation | 0.76 |
Good predictability
Ivy Mid Cap has good predictability. Overlapping area represents the amount of predictability between Ivy Mid 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 Ivy Mid Cap price movement. The serial correlation of 0.76 indicates that around 76.0% of current Ivy Mid price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.68 | |
| Residual Average | 0.0 | |
| Price Variance | 0.65 |
Ivy Mid Cap lagged returns against current returns
Autocorrelation, which is Ivy Mid 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 Ivy Mid's mutual fund expected returns. We can calculate the autocorrelation of Ivy Mid returns to help us make a trade decision. For example, suppose you find that Ivy Mid 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 |
Ivy Mid 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 Ivy Mid mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ivy Mid mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ivy Mid mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ivy Mid Lagged Returns
When evaluating Ivy Mid's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ivy Mid mutual fund have on its future price. Ivy Mid 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, Ivy Mid autocorrelation shows the relationship between Ivy Mid mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ivy Mid Cap.
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 Ivy Mid Correlation, Ivy Mid Volatility and Ivy Mid Alpha and Beta module to complement your research on Ivy Mid. You can also try the Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Ivy Mid 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.