Natixis Oakmark Fund Market Value
| NEOYX Fund | USD 31.23 0.16 0.51% |
| Symbol | Natixis |
Natixis Oakmark '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 Natixis Oakmark'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 Natixis Oakmark.
| 04/04/2024 |
| 05/04/2024 |
If you would invest 0.00 in Natixis Oakmark on April 4, 2024 and sell it all today you would earn a total of 0.00 from holding Natixis Oakmark Fund or generate 0.0% return on investment in Natixis Oakmark over 30 days. Natixis Oakmark is related to or competes with Dodge Cox, American Funds, American Funds, American Mutual, and Vanguard Value. Under normal market conditions, the fund primarily invests in common stocks of U.S More
Natixis Oakmark 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 Natixis Oakmark'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 Natixis Oakmark Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8709 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.11 | |||
| Value At Risk | (1.47) | |||
| Potential Upside | 1.12 |
Natixis Oakmark Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Natixis Oakmark's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Natixis Oakmark's standard deviation. In reality, there are many statistical measures that can use Natixis Oakmark historical prices to predict the future Natixis Oakmark's volatility.| Risk Adjusted Performance | 0.0476 | |||
| Jensen Alpha | 0.0431 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 1.73 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Natixis Oakmark'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.
Natixis Oakmark Backtested Returns
We consider Natixis Oakmark very steady. Natixis Oakmark has Sharpe Ratio of 0.13, which conveys that the entity had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Natixis Oakmark, which you can use to evaluate the volatility of the fund. Please verify Natixis Oakmark's Downside Deviation of 0.8709, risk adjusted performance of 0.0476, and Mean Deviation of 0.5865 to check out if the risk estimate we provide is consistent with the expected return of 0.0937%. The fund secures a Beta (Market Risk) of 0.026, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Natixis Oakmark's returns are expected to increase less than the market. However, during the bear market, the loss of holding Natixis Oakmark is expected to be smaller as well.
Auto-correlation | 0.68 |
Good predictability
Natixis Oakmark Fund has good predictability. Overlapping area represents the amount of predictability between Natixis Oakmark time series from 4th of April 2024 to 19th of April 2024 and 19th of April 2024 to 4th 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 Natixis Oakmark price movement. The serial correlation of 0.68 indicates that around 68.0% of current Natixis Oakmark price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.68 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Natixis Oakmark lagged returns against current returns
Autocorrelation, which is Natixis Oakmark 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 Natixis Oakmark's mutual fund expected returns. We can calculate the autocorrelation of Natixis Oakmark returns to help us make a trade decision. For example, suppose you find that Natixis Oakmark 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 |
Natixis Oakmark 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 Natixis Oakmark mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Natixis Oakmark mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Natixis Oakmark mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Natixis Oakmark Lagged Returns
When evaluating Natixis Oakmark's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Natixis Oakmark mutual fund have on its future price. Natixis Oakmark 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, Natixis Oakmark autocorrelation shows the relationship between Natixis Oakmark mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Natixis Oakmark Fund.
Regressed Prices |
| Timeline |
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Natixis Oakmark 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.