Delaware Value Backtesting

DE
DDZRX -- USA Fund  

USD 22.73  0.06  0.26%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Delaware Value Fund Class R6 and determine expected loss or profit from investing in Delaware Value over given investment horizon. Continue to Delaware Value Hype Analysis, Delaware Value Correlation, Portfolio Optimization, Delaware Value Volatility as well as analyze Delaware Value Alpha and Beta and Delaware Value Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Delaware Value 'What if' Analysis

October 23, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 21, 2020
0.00
If you would invest  0.00  in Delaware Value on October 23, 2019 and sell it all today you would earn a total of 0.00 from holding Delaware Value Fund Class R6 or generate 0.0% return on investment in Delaware Value over 90 days. Delaware Value is related to or competes with JPMorgan Value, JPMorgan Value, Hartford Dividend, Hartford Dividend, Lord Abbett, Lord Abbett, and Lord Abbett. Under normal circumstances, the fund will invest at least 80 percent of its net assets, plus the amount of any borrowing...

Delaware Value Upside/Downside Indicators

Downside Deviation0.8105
Information Ratio(0.08)
Maximum Drawdown3.93
Value At Risk(1.06)
Potential Upside0.8822

Delaware Value Market Premium Indicators

Risk Adjusted Performance0.0583
Jensen Alpha0.0615
Total Risk Alpha(0.09)
Sortino Ratio(0.07)
Treynor Ratio2.6

Delaware Value Fund Backtested Returns

We consider Delaware Value very steady. Delaware Value Fund secures Sharpe Ratio (or Efficiency) of 0.1021 which denotes the fund had 0.1021% of return per unit of risk over the last 3 months. Our philosophy towards predicting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for Delaware Value Fund Class R6 which you can use to evaluate future volatility of the entity. Please confirm Delaware Value Fund Mean Deviation of 0.4453, Downside Deviation of 0.8105 and Coefficient Of Variation of 856.66 to check if risk estimate we provide are consistent with the epected return of 0.0652%. The organization shows Beta (market volatility) of 0.0248 which denotes to the fact that as returns on market increase, Delaware Value returns are expected to increase less than the market. However during bear market, the loss on holding Delaware Value will be expected to be smaller as well. Although it is extremely important to respect Delaware Value Fund historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards predicting future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By reviewing Delaware Value Fund technical indicators you can presently evaluate if the expected return of 0.0652% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.55) 
correlation synergy

Good reverse predictability

Delaware Value Fund Class R6 has good reverse predictability. Overlapping area represents the amount of predictability between Delaware Value time series from October 23, 2019 to December 7, 2019 and December 7, 2019 to January 21, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Delaware Value Fund price movement. The serial correlation of -0.55 indicates that about 55.0% of current Delaware Value price fluctuation can be explain by its past prices. Given that Delaware Value Fund Class R6 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Delaware Value for similar time interval.
Correlation Coefficient-0.55
Spearman Rank Test0.01
Residual Average0.0
Price Variance0.03

Delaware Value Fund lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Delaware Value regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Delaware Value Lagged Returns

 Regressed Prices 
    
  Timeline 

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Delaware Value Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Delaware Value and JPMorgan Value Advan. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Continue to Delaware Value Hype Analysis, Delaware Value Correlation, Portfolio Optimization, Delaware Value Volatility as well as analyze Delaware Value Alpha and Beta and Delaware Value Performance. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.