Ultra Short Term Municipal Fund Market Value
| SMAVX Fund | USD 9.58 0.00 0.00% |
| Symbol | Ultra |
Ultra Short-term '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 Ultra Short-term'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 Ultra Short-term.
| 04/21/2024 |
| 05/21/2024 |
If you would invest 0.00 in Ultra Short-term on April 21, 2024 and sell it all today you would earn a total of 0.00 from holding Ultra Short Term Municipal or generate 0.0% return on investment in Ultra Short-term over 30 days. Ultra Short-term is related to or competes with Morningstar Unconstrained. The fund normally invests at least 80 percent of the funds net assets in municipal securities whose interest is exempt f... More
Ultra Short-term 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 Ultra Short-term'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 Ultra Short Term Municipal upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.90) | |||
| Maximum Drawdown | 0.5243 | |||
| Value At Risk | (0.10) | |||
| Potential Upside | 0.2096 |
Ultra Short-term Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ultra Short-term's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ultra Short-term's standard deviation. In reality, there are many statistical measures that can use Ultra Short-term historical prices to predict the future Ultra Short-term's volatility.| Risk Adjusted Performance | 0.0316 | |||
| Jensen Alpha | 0.0022 | |||
| Total Risk Alpha | (0.01) | |||
| Treynor Ratio | 0.3549 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ultra Short-term'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.
Ultra Short Term Backtested Returns
We consider Ultra Short-term very steady. Ultra Short Term owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the fund had a 0.16% return per unit of risk over the last 3 months. We have found nineteen technical indicators for Ultra Short Term Municipal, which you can use to evaluate the volatility of the fund. Please validate Ultra Short-term's Variance of 0.0053, risk adjusted performance of 0.0316, and Coefficient Of Variation of 569.21 to confirm if the risk estimate we provide is consistent with the expected return of 0.0117%. The entity has a beta of 0.0077, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Ultra Short-term's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ultra Short-term is expected to be smaller as well.
Auto-correlation | 0.33 |
Below average predictability
Ultra Short Term Municipal has below average predictability. Overlapping area represents the amount of predictability between Ultra Short-term time series from 21st of April 2024 to 6th of May 2024 and 6th of May 2024 to 21st 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 Ultra Short Term price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current Ultra Short-term price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.33 | |
| Spearman Rank Test | 0.99 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Ultra Short Term lagged returns against current returns
Autocorrelation, which is Ultra Short-term 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 Ultra Short-term's mutual fund expected returns. We can calculate the autocorrelation of Ultra Short-term returns to help us make a trade decision. For example, suppose you find that Ultra Short-term 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 |
Ultra Short-term 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 Ultra Short-term mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ultra Short-term mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ultra Short-term mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ultra Short-term Lagged Returns
When evaluating Ultra Short-term's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ultra Short-term mutual fund have on its future price. Ultra Short-term 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, Ultra Short-term autocorrelation shows the relationship between Ultra Short-term mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ultra Short Term Municipal.
Regressed Prices |
| Timeline |
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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 Ultra Short-term Correlation, Ultra Short-term Volatility and Ultra Short-term Alpha and Beta module to complement your research on Ultra Short-term. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Ultra Short-term 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.