Blackrock Advantage Large Fund Market Value
| CMVIX Fund | USD 24.85 0.25 1.00% |
| Symbol | Blackrock |
Blackrock Advantage '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 Blackrock Advantage'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 Blackrock Advantage.
| 03/18/2024 |
| 04/17/2024 |
If you would invest 0.00 in Blackrock Advantage on March 18, 2024 and sell it all today you would earn a total of 0.00 from holding Blackrock Advantage Large or generate 0.0% return on investment in Blackrock Advantage over 30 days. Blackrock Advantage is related to or competes with Blackrock California, Blackrock Balanced, Blackrock Eurofund, Blackrock Emerging, Blackrock Equity, Blackrock Advantage, and Blackrock International. The fund invests at least 80 percent of its net assets plus the amount of any borrowings for investment purposes in larg... More
Blackrock Advantage 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 Blackrock Advantage'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 Blackrock Advantage Large upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | 0.0581 | |||
| Maximum Drawdown | 5.9 | |||
| Value At Risk | (1.55) | |||
| Potential Upside | 1.56 |
Blackrock Advantage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Advantage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Advantage's standard deviation. In reality, there are many statistical measures that can use Blackrock Advantage historical prices to predict the future Blackrock Advantage's volatility.| Risk Adjusted Performance | 0.0772 | |||
| Jensen Alpha | 0.0568 | |||
| Total Risk Alpha | 0.0301 | |||
| Sortino Ratio | 0.0538 | |||
| Treynor Ratio | 0.1038 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Blackrock Advantage'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.
Blackrock Advantage Large Backtested Returns
We consider Blackrock Advantage very steady. Blackrock Advantage Large secures Sharpe Ratio (or Efficiency) of 0.11, which signifies that the fund had a 0.11% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Blackrock Advantage Large, which you can use to evaluate the volatility of the entity. Please confirm Blackrock Advantage's mean deviation of 0.7162, and Risk Adjusted Performance of 0.0772 to double-check if the risk estimate we provide is consistent with the expected return of 0.11%. The fund shows a Beta (market volatility) of 1.02, which signifies a somewhat significant risk relative to the market. Blackrock Advantage returns are very sensitive to returns on the market. As the market goes up or down, Blackrock Advantage is expected to follow.
Auto-correlation | 0.08 |
Virtually no predictability
Blackrock Advantage Large has virtually no predictability. Overlapping area represents the amount of predictability between Blackrock Advantage time series from 18th of March 2024 to 2nd of April 2024 and 2nd of April 2024 to 17th 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 Blackrock Advantage Large price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Blackrock Advantage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Blackrock Advantage Large lagged returns against current returns
Autocorrelation, which is Blackrock Advantage 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 Blackrock Advantage's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Advantage returns to help us make a trade decision. For example, suppose you find that Blackrock Advantage 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 |
Blackrock Advantage 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 Blackrock Advantage mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock Advantage mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Blackrock Advantage mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Advantage Lagged Returns
When evaluating Blackrock Advantage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Advantage mutual fund have on its future price. Blackrock Advantage 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, Blackrock Advantage autocorrelation shows the relationship between Blackrock Advantage mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Advantage Large.
Regressed Prices |
| Timeline |
Pair Trading with Blackrock Advantage
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 Blackrock Advantage 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 Blackrock Advantage will appreciate offsetting losses from the drop in the long position's value.Moving together with Blackrock Mutual Fund
| 0.7 | MKCMX | Blackrock California | PairCorr |
| 0.89 | MKCPX | Blackrock Balanced | PairCorr |
| 0.94 | MKEFX | Blackrock Eurofund Class | PairCorr |
| 0.84 | MKDCX | Blackrock Emerging | PairCorr |
| 0.86 | MKDVX | Blackrock Equity Dividend | PairCorr |
The ability to find closely correlated positions to Blackrock Advantage could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Blackrock Advantage 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 Blackrock Advantage - 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 Blackrock Advantage Large to buy it.
The correlation of Blackrock Advantage 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 Blackrock Advantage moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Blackrock Advantage Large 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 Blackrock Advantage 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 Blackrock Advantage Correlation, Blackrock Advantage Volatility and Blackrock Advantage Alpha and Beta module to complement your research on Blackrock Advantage. You can also try the Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
Blackrock Advantage 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.