Parametric Modity Strategy Fund Market Value
| EIPCX Fund | USD 6.54 0.02 0.30% |
| Symbol | Parametric |
Parametric Modity '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 Parametric Modity'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 Parametric Modity.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Parametric Modity on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Parametric Modity Strategy or generate 0.0% return on investment in Parametric Modity over 30 days. Parametric Modity is related to or competes with Fidelity Advisor, Vanguard Health, Blackrock Health, Highland Longshort, Tekla Healthcare, Invesco Global, and Allianzgi Health. The fund invests primarily in commodity-linked derivative instruments backed by a portfolio of fixed-income securities More
Parametric Modity 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 Parametric Modity'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 Parametric Modity Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5284 | |||
| Information Ratio | 0.2165 | |||
| Maximum Drawdown | 1.86 | |||
| Value At Risk | (0.66) | |||
| Potential Upside | 1.12 |
Parametric Modity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Parametric Modity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Parametric Modity's standard deviation. In reality, there are many statistical measures that can use Parametric Modity historical prices to predict the future Parametric Modity's volatility.| Risk Adjusted Performance | 0.2005 | |||
| Jensen Alpha | 0.1672 | |||
| Total Risk Alpha | 0.1222 | |||
| Sortino Ratio | 0.2176 | |||
| Treynor Ratio | (1.08) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Parametric Modity'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.
Parametric Modity Backtested Returns
We consider Parametric Modity very steady. Parametric Modity maintains Sharpe Ratio (i.e., Efficiency) of 0.34, which implies the entity had a 0.34% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Parametric Modity, which you can use to evaluate the volatility of the fund. Please check Parametric Modity's Downside Deviation of 0.5284, standard deviation of 0.531, and Risk Adjusted Performance of 0.2005 to confirm if the risk estimate we provide is consistent with the expected return of 0.18%. The fund holds a Beta of -0.15, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Parametric Modity are expected to decrease at a much lower rate. During the bear market, Parametric Modity is likely to outperform the market.
Auto-correlation | 0.49 |
Average predictability
Parametric Modity Strategy has average predictability. Overlapping area represents the amount of predictability between Parametric Modity time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 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 Parametric Modity price movement. The serial correlation of 0.49 indicates that about 49.0% of current Parametric Modity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Parametric Modity lagged returns against current returns
Autocorrelation, which is Parametric Modity 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 Parametric Modity's mutual fund expected returns. We can calculate the autocorrelation of Parametric Modity returns to help us make a trade decision. For example, suppose you find that Parametric Modity 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 |
Parametric Modity 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 Parametric Modity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Parametric Modity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Parametric Modity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Parametric Modity Lagged Returns
When evaluating Parametric Modity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Parametric Modity mutual fund have on its future price. Parametric Modity 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, Parametric Modity autocorrelation shows the relationship between Parametric Modity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Parametric Modity Strategy.
Regressed Prices |
| Timeline |
Pair Trading with Parametric Modity
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 Parametric Modity 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 Parametric Modity will appreciate offsetting losses from the drop in the long position's value.Moving against Parametric Mutual Fund
| 0.66 | ERGOX | Eaton Vance Government | PairCorr |
The ability to find closely correlated positions to Parametric Modity could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Parametric Modity 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 Parametric Modity - 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 Parametric Modity Strategy to buy it.
The correlation of Parametric Modity 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 Parametric Modity moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Parametric Modity 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 Parametric Modity 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 Parametric Modity Correlation, Parametric Modity Volatility and Parametric Modity Alpha and Beta module to complement your research on Parametric Modity. Note that the Parametric Modity information on this page should be used as a complementary analysis to other Parametric Modity'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.
Parametric Modity 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.