Mainstay Epoch Small Fund Market Value
| MOINX Fund | USD 21.70 0.50 2.36% |
| Symbol | Mainstay |
Mainstay Epoch '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 Mainstay Epoch'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 Mainstay Epoch.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in Mainstay Epoch on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Mainstay Epoch Small or generate 0.0% return on investment in Mainstay Epoch over 60 days. Mainstay Epoch is related to or competes with Amg River, Mutual Of, Foundry Partners, Perkins Small, Great-west Loomis, and Hennessy Cornerstone. The fund invests, under normal circumstances, at least 80 percent of its assets in the securities of U.S More
Mainstay Epoch 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 Mainstay Epoch'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 Mainstay Epoch Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 5.91 | |||
| Value At Risk | (2.26) | |||
| Potential Upside | 2.11 |
Mainstay Epoch Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mainstay Epoch's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mainstay Epoch's standard deviation. In reality, there are many statistical measures that can use Mainstay Epoch historical prices to predict the future Mainstay Epoch's volatility.| Risk Adjusted Performance | 0.0447 | |||
| Jensen Alpha | 0.0711 | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 13.51 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mainstay Epoch'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.
Mainstay Epoch Small Backtested Returns
We consider Mainstay Epoch slightly risky. Mainstay Epoch Small has Sharpe Ratio of 0.0633, which conveys that the entity had a 0.0633% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Mainstay Epoch, which you can use to evaluate the volatility of the fund. Please verify Mainstay Epoch's Mean Deviation of 0.9895, risk adjusted performance of 0.0447, and Downside Deviation of 1.37 to check out if the risk estimate we provide is consistent with the expected return of 0.0816%. The fund secures a Beta (Market Risk) of 0.0053, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mainstay Epoch's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mainstay Epoch is expected to be smaller as well.
Auto-correlation | -0.02 |
Very weak reverse predictability
Mainstay Epoch Small has very weak reverse predictability. Overlapping area represents the amount of predictability between Mainstay Epoch time series from 24th of February 2024 to 25th of March 2024 and 25th of March 2024 to 24th 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 Mainstay Epoch Small price movement. The serial correlation of -0.02 indicates that only 2.0% of current Mainstay Epoch price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.02 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
Mainstay Epoch Small lagged returns against current returns
Autocorrelation, which is Mainstay Epoch 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 Mainstay Epoch's mutual fund expected returns. We can calculate the autocorrelation of Mainstay Epoch returns to help us make a trade decision. For example, suppose you find that Mainstay Epoch 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 |
Mainstay Epoch 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 Mainstay Epoch mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mainstay Epoch mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mainstay Epoch mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mainstay Epoch Lagged Returns
When evaluating Mainstay Epoch's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mainstay Epoch mutual fund have on its future price. Mainstay Epoch 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, Mainstay Epoch autocorrelation shows the relationship between Mainstay Epoch mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mainstay Epoch Small.
Regressed Prices |
| Timeline |
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Mainstay Epoch 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.