Commonwealth Real Estate Fund Market Value
| CNREX Fund | USD 21.67 0.01 0.05% |
| Symbol | Commonwealth |
Commonwealth Real '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 Commonwealth Real'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 Commonwealth Real.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Commonwealth Real on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Commonwealth Real Estate or generate 0.0% return on investment in Commonwealth Real over 30 days. Commonwealth Real is related to or competes with Commonwealth Global, Commonwealth Australianew, Amg Managers, Commonwealth Japan, and Real Estate. Under normal market conditions, the fund invests at least 80 percent of its net assets in real estate securities More
Commonwealth Real 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 Commonwealth Real'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 Commonwealth Real Estate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.13 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.86 | |||
| Value At Risk | (1.39) | |||
| Potential Upside | 1.37 |
Commonwealth Real Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Commonwealth Real's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Commonwealth Real's standard deviation. In reality, there are many statistical measures that can use Commonwealth Real historical prices to predict the future Commonwealth Real's volatility.| Risk Adjusted Performance | 0.0082 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Commonwealth Real'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.
Commonwealth Real Estate Backtested Returns
Commonwealth Real Estate secures Sharpe Ratio (or Efficiency) of -0.0151, which signifies that the fund had a -0.0151% return per unit of risk over the last 3 months. Commonwealth Real Estate exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Commonwealth Real's Risk Adjusted Performance of 0.0082, downside deviation of 1.13, and Mean Deviation of 0.7192 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 1.31, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Commonwealth Real will likely underperform.
Auto-correlation | 0.49 |
Average predictability
Commonwealth Real Estate has average predictability. Overlapping area represents the amount of predictability between Commonwealth Real time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Commonwealth Real Estate price movement. The serial correlation of 0.49 indicates that about 49.0% of current Commonwealth Real price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.4 | |
| Residual Average | 0.0 | |
| Price Variance | 0.26 |
Commonwealth Real Estate lagged returns against current returns
Autocorrelation, which is Commonwealth Real 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 Commonwealth Real's mutual fund expected returns. We can calculate the autocorrelation of Commonwealth Real returns to help us make a trade decision. For example, suppose you find that Commonwealth Real 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 |
Commonwealth Real 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 Commonwealth Real mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Commonwealth Real mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Commonwealth Real mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Commonwealth Real Lagged Returns
When evaluating Commonwealth Real's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Commonwealth Real mutual fund have on its future price. Commonwealth Real 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, Commonwealth Real autocorrelation shows the relationship between Commonwealth Real mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Commonwealth Real Estate.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Commonwealth Real in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Commonwealth Real's short interest history, or implied volatility extrapolated from Commonwealth Real options trading.
Pair Trading with Commonwealth Real
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 Commonwealth Real 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 Commonwealth Real will appreciate offsetting losses from the drop in the long position's value.Moving against Commonwealth Mutual Fund
| 0.71 | KW | Kennedy Wilson Holdings Financial Report 1st of May 2024 | PairCorr |
| 0.65 | HR | Healthcare Realty Trust Financial Report 14th of May 2024 | PairCorr |
| 0.53 | UK | Ucommune International Report 23rd of April 2024 | PairCorr |
The ability to find closely correlated positions to Commonwealth Real could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Commonwealth Real 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 Commonwealth Real - 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 Commonwealth Real Estate to buy it.
The correlation of Commonwealth Real 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 Commonwealth Real moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Commonwealth Real Estate 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 Commonwealth Real 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 Commonwealth Real Correlation, Commonwealth Real Volatility and Commonwealth Real Alpha and Beta module to complement your research on Commonwealth Real. Note that the Commonwealth Real Estate information on this page should be used as a complementary analysis to other Commonwealth Real's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.
Commonwealth Real 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.