Aegis Value Fund Market Value
| AVALX Fund | USD 36.36 0.03 0.08% |
| Symbol | Aegis |
Aegis Value '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 Aegis Value'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 Aegis Value.
| 02/18/2024 |
| 04/18/2024 |
If you would invest 0.00 in Aegis Value on February 18, 2024 and sell it all today you would earn a total of 0.00 from holding Aegis Value Fund or generate 0.0% return on investment in Aegis Value over 60 days. Aegis Value is related to or competes with Strategic Advisers, Msift High, California High, City National, Tax Exempt, and Blackrock High. The fund invests primarily in common stocks that the funds investment advisor believes are significantly undervalued rel... More
Aegis Value 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 Aegis Value'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 Aegis Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.1 | |||
| Information Ratio | 0.0262 | |||
| Maximum Drawdown | 4.46 | |||
| Value At Risk | (1.99) | |||
| Potential Upside | 1.65 |
Aegis Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aegis Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aegis Value's standard deviation. In reality, there are many statistical measures that can use Aegis Value historical prices to predict the future Aegis Value's volatility.| Risk Adjusted Performance | 0.0528 | |||
| Jensen Alpha | 0.0227 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0262 | |||
| Treynor Ratio | 0.0656 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aegis Value'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.
Aegis Value Fund Backtested Returns
We consider Aegis Value very steady. Aegis Value Fund secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the fund had a 0.12% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Aegis Value Fund, which you can use to evaluate the volatility of the entity. Please confirm Aegis Value's risk adjusted performance of 0.0528, and Mean Deviation of 0.8395 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. The fund shows a Beta (market volatility) of 1.13, which signifies a somewhat significant risk relative to the market. Aegis Value returns are very sensitive to returns on the market. As the market goes up or down, Aegis Value is expected to follow.
Auto-correlation | 0.92 |
Excellent predictability
Aegis Value Fund has excellent predictability. Overlapping area represents the amount of predictability between Aegis Value time series from 18th of February 2024 to 19th of March 2024 and 19th of March 2024 to 18th 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 Aegis Value Fund price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current Aegis Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.92 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 0.67 |
Aegis Value Fund lagged returns against current returns
Autocorrelation, which is Aegis Value 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 Aegis Value's mutual fund expected returns. We can calculate the autocorrelation of Aegis Value returns to help us make a trade decision. For example, suppose you find that Aegis Value 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 |
Aegis Value 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 Aegis Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aegis Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aegis Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aegis Value Lagged Returns
When evaluating Aegis Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aegis Value mutual fund have on its future price. Aegis Value 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, Aegis Value autocorrelation shows the relationship between Aegis Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aegis Value Fund.
Regressed Prices |
| Timeline |
Pair Trading with Aegis Value
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Aegis Value position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Aegis Value will appreciate offsetting losses from the drop in the long position's value.Moving together with Aegis Mutual Fund
| 0.69 | VSIIX | Vanguard Small Cap | PairCorr |
| 0.69 | VISVX | Vanguard Small Cap | PairCorr |
| 0.67 | DFSVX | Us Small Cap | PairCorr |
The ability to find closely correlated positions to Aegis Value could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aegis Value when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Aegis Value - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Aegis Value Fund to buy it.
The correlation of Aegis Value is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Aegis Value moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aegis Value Fund moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Aegis Value can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Aegis Value Correlation, Aegis Value Volatility and Aegis Value Alpha and Beta module to complement your research on Aegis Value. You can also try the Money Flow Index module to determine momentum by analyzing Money Flow Index and other technical indicators.
Aegis Value 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.