Fs Multi Strategy Alt Fund Market Value
| FSMMX Fund | USD 11.17 0.01 0.09% |
| Symbol | FSMMX |
Fs Multi '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 Fs Multi'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 Fs Multi.
| 02/18/2024 |
| 05/18/2024 |
If you would invest 0.00 in Fs Multi on February 18, 2024 and sell it all today you would earn a total of 0.00 from holding Fs Multi Strategy Alt or generate 0.0% return on investment in Fs Multi over 90 days. Fs Multi is related to or competes with Fs Real, Fs Multi, Fs Real, Fs Managed, and Fs Managed. The fund seeks to achieve its investment objective by actively allocating its assets across a broad spectrum of alternat... More
Fs Multi 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 Fs Multi'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 Fs Multi Strategy Alt upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.144 | |||
| Information Ratio | (0.55) | |||
| Maximum Drawdown | 0.5477 | |||
| Value At Risk | (0.09) | |||
| Potential Upside | 0.2712 |
Fs Multi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fs Multi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fs Multi's standard deviation. In reality, there are many statistical measures that can use Fs Multi historical prices to predict the future Fs Multi's volatility.| Risk Adjusted Performance | 0.1117 | |||
| Jensen Alpha | 0.0136 | |||
| Total Risk Alpha | 0.0026 | |||
| Sortino Ratio | (0.47) | |||
| Treynor Ratio | 0.2411 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fs Multi'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.
Fs Multi Strategy Backtested Returns
We consider Fs Multi very steady. Fs Multi Strategy retains Efficiency (Sharpe Ratio) of 0.28, which denotes the fund had a 0.28% return per unit of price deviation over the last 3 months. We have found twenty-six technical indicators for Fs Multi, which you can use to evaluate the volatility of the entity. Please confirm Fs Multi's Market Risk Adjusted Performance of 0.2511, coefficient of variation of 393.62, and Variance of 0.0155 to check if the risk estimate we provide is consistent with the expected return of 0.0331%. The fund owns a Beta (Systematic Risk) of 0.0896, which means not very significant fluctuations relative to the market. As returns on the market increase, Fs Multi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Fs Multi is expected to be smaller as well.
Auto-correlation | 0.86 |
Very good predictability
Fs Multi Strategy Alt has very good predictability. Overlapping area represents the amount of predictability between Fs Multi time series from 18th of February 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th of May 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 Fs Multi Strategy price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Fs Multi price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Fs Multi Strategy lagged returns against current returns
Autocorrelation, which is Fs Multi 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 Fs Multi's mutual fund expected returns. We can calculate the autocorrelation of Fs Multi returns to help us make a trade decision. For example, suppose you find that Fs Multi 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 |
Fs Multi 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 Fs Multi mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fs Multi mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fs Multi mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Fs Multi Lagged Returns
When evaluating Fs Multi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fs Multi mutual fund have on its future price. Fs Multi 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, Fs Multi autocorrelation shows the relationship between Fs Multi mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Fs Multi Strategy Alt.
Regressed Prices |
| Timeline |
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Check out Fs Multi Correlation, Fs Multi Volatility and Fs Multi Alpha and Beta module to complement your research on Fs Multi. You can also try the Stocks Directory module to find actively traded stocks across global markets.
Fs Multi 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.