Fundamental All Cap Fund Market Value
| JFCAX Fund | USD 30.96 0.06 0.19% |
| Symbol | Fundamental |
Fundamental All '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 Fundamental All'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 Fundamental All.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Fundamental All on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Fundamental All Cap or generate 0.0% return on investment in Fundamental All over 30 days. Fundamental All is related to or competes with Regional Bank, Regional Bank, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, and Multimanager Lifestyle. Under normal market conditions, the fund invests at least 80 percent of its net assets in equity securities More
Fundamental All 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 Fundamental All'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 Fundamental All Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9198 | |||
| Information Ratio | 1.0E-4 | |||
| Maximum Drawdown | 3.68 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.28 |
Fundamental All Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fundamental All's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fundamental All's standard deviation. In reality, there are many statistical measures that can use Fundamental All historical prices to predict the future Fundamental All's volatility.| Risk Adjusted Performance | 0.0519 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 1.0E-4 | |||
| Treynor Ratio | 0.0468 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fundamental All'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.
Fundamental All Cap Backtested Returns
We consider Fundamental All very steady. Fundamental All Cap secures Sharpe Ratio (or Efficiency) of 0.0441, which denotes the fund had a 0.0441% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Fundamental All Cap, which you can use to evaluate the volatility of the entity. Please confirm Fundamental All's Coefficient Of Variation of 1259.7, downside deviation of 0.9198, and Mean Deviation of 0.6793 to check if the risk estimate we provide is consistent with the expected return of 0.0378%. The fund shows a Beta (market volatility) of 1.25, which means 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, Fundamental All will likely underperform.
Auto-correlation | 0.49 |
Average predictability
Fundamental All Cap has average predictability. Overlapping area represents the amount of predictability between Fundamental All 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 Fundamental All Cap price movement. The serial correlation of 0.49 indicates that about 49.0% of current Fundamental All price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.28 |
Fundamental All Cap lagged returns against current returns
Autocorrelation, which is Fundamental All 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 Fundamental All's mutual fund expected returns. We can calculate the autocorrelation of Fundamental All returns to help us make a trade decision. For example, suppose you find that Fundamental All 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 |
Fundamental All 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 Fundamental All mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fundamental All mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fundamental All mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Fundamental All Lagged Returns
When evaluating Fundamental All's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fundamental All mutual fund have on its future price. Fundamental All 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, Fundamental All autocorrelation shows the relationship between Fundamental All mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Fundamental All Cap.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Fundamental All Correlation, Fundamental All Volatility and Fundamental All Alpha and Beta module to complement your research on Fundamental All. Note that the Fundamental All Cap information on this page should be used as a complementary analysis to other Fundamental All'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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Fundamental All 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.