Massmutual Premier Disciplined Fund Market Value
| MPIVX Fund | USD 13.31 0.03 0.22% |
| Symbol | Massmutual |
Massmutual Premier '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 Massmutual Premier'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 Massmutual Premier.
| 02/19/2024 |
| 04/19/2024 |
If you would invest 0.00 in Massmutual Premier on February 19, 2024 and sell it all today you would earn a total of 0.00 from holding Massmutual Premier Disciplined or generate 0.0% return on investment in Massmutual Premier over 60 days. Massmutual Premier is related to or competes with Massmutual Select, Massmutual Select, Massmutual Select, Massmutual Premier, Massmutual Premier, Massmutual Select, and Massmutual Select. The fund invests primarily in equity securities of U.S More
Massmutual Premier 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 Massmutual Premier'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 Massmutual Premier Disciplined upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7753 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 2.78 | |||
| Value At Risk | (1.22) | |||
| Potential Upside | 0.9119 |
Massmutual Premier Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Massmutual Premier's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Massmutual Premier's standard deviation. In reality, there are many statistical measures that can use Massmutual Premier historical prices to predict the future Massmutual Premier's volatility.| Risk Adjusted Performance | 0.0622 | |||
| Jensen Alpha | 0.0523 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 2.48 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Massmutual Premier'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.
Massmutual Premier Backtested Returns
We consider Massmutual Premier very steady. Massmutual Premier has Sharpe Ratio of 0.0931, which conveys that the entity had a 0.0931% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Massmutual Premier, which you can use to evaluate the volatility of the fund. Please verify Massmutual Premier's Risk Adjusted Performance of 0.0622, downside deviation of 0.7753, and Mean Deviation of 0.4862 to check out if the risk estimate we provide is consistent with the expected return of 0.0587%. The fund secures a Beta (Market Risk) of 0.0216, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Massmutual Premier's returns are expected to increase less than the market. However, during the bear market, the loss of holding Massmutual Premier is expected to be smaller as well.
Auto-correlation | -0.68 |
Very good reverse predictability
Massmutual Premier Disciplined has very good reverse predictability. Overlapping area represents the amount of predictability between Massmutual Premier time series from 19th of February 2024 to 20th of March 2024 and 20th of March 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 Massmutual Premier price movement. The serial correlation of -0.68 indicates that around 68.0% of current Massmutual Premier price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.68 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Massmutual Premier lagged returns against current returns
Autocorrelation, which is Massmutual Premier 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 Massmutual Premier's mutual fund expected returns. We can calculate the autocorrelation of Massmutual Premier returns to help us make a trade decision. For example, suppose you find that Massmutual Premier 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 |
Massmutual Premier 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 Massmutual Premier mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Massmutual Premier mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Massmutual Premier mutual fund over time.
Current vs Lagged Prices |
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Massmutual Premier Lagged Returns
When evaluating Massmutual Premier's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Massmutual Premier mutual fund have on its future price. Massmutual Premier 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, Massmutual Premier autocorrelation shows the relationship between Massmutual Premier mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Massmutual Premier Disciplined.
Regressed Prices |
| Timeline |
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Massmutual Premier 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.