Davis Real Estate Fund Market Value
| DREYX Fund | USD 40.56 0.79 1.99% |
| Symbol | Davis |
Davis Real '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 Davis Real'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 Davis Real.
| 03/05/2024 |
| 06/03/2024 |
If you would invest 0.00 in Davis Real on March 5, 2024 and sell it all today you would earn a total of 0.00 from holding Davis Real Estate or generate 0.0% return on investment in Davis Real over 90 days. Davis Real is related to or competes with Realty Income, Dynex Capital, First Industrial, Healthcare Realty, Kennedy Wilson, Belpointe PREP, and Park Hotels. The investment seeks total return through a combination of growth and income More
Davis Real 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 Davis Real'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 Davis Real Estate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 6.72 | |||
| Value At Risk | (1.82) | |||
| Potential Upside | 1.61 |
Davis Real Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Davis Real's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Davis Real's standard deviation. In reality, there are many statistical measures that can use Davis Real historical prices to predict the future Davis Real's volatility.| Risk Adjusted Performance | 0.0138 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0049 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Davis Real'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.
Davis Real Estate Backtested Returns
Davis Real Estate secures Sharpe Ratio (or Efficiency) of -0.0131, which denotes the fund had a -0.0131% return per unit of risk over the last 3 months. Davis Real Estate exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Davis Real's Coefficient Of Variation of 6766.03, mean deviation of 0.8926, and Downside Deviation of 1.32 to check the risk estimate we provide. The fund shows a Beta (market volatility) of 1.47, which means 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, Davis Real will likely underperform.
Auto-correlation | -0.32 |
Poor reverse predictability
Davis Real Estate has poor reverse predictability. Overlapping area represents the amount of predictability between Davis Real time series from 5th of March 2024 to 19th of April 2024 and 19th of April 2024 to 3rd of June 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 Davis Real Estate price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Davis Real price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 0.66 |
Davis Real Estate lagged returns against current returns
Autocorrelation, which is Davis Real 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 Davis Real's mutual fund expected returns. We can calculate the autocorrelation of Davis Real returns to help us make a trade decision. For example, suppose you find that Davis Real 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 |
Davis Real 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 Davis Real mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Davis Real mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Davis Real mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Davis Real Lagged Returns
When evaluating Davis Real's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Davis Real mutual fund have on its future price. Davis Real 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, Davis Real autocorrelation shows the relationship between Davis Real mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Davis Real Estate.
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 Davis Real Correlation, Davis Real Volatility and Davis Real Alpha and Beta module to complement your research on Davis Real. You can also try the Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.
Davis Real 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.