Frontier Markets Portfolio Fund Market Value
| MSRFX Fund | USD 15.16 0.11 0.73% |
| Symbol | Frontier |
Frontier Markets '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 Frontier Markets' 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 Frontier Markets.
| 05/01/2023 |
| 04/25/2024 |
If you would invest 0.00 in Frontier Markets on May 1, 2023 and sell it all today you would earn a total of 0.00 from holding Frontier Markets Portfolio or generate 0.0% return on investment in Frontier Markets over 360 days. Frontier Markets is related to or competes with Amana Income, Amana Growth, Amana Participation, HUMANA, Barloworld, Morningstar Unconstrained, and High Yield. The funds adviser seeks to achieve the funds investment objective by investing primarily in growth-oriented equity secur... More
Frontier Markets 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 Frontier Markets' 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 Frontier Markets Portfolio upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6758 | |||
| Information Ratio | (0.1) | |||
| Maximum Drawdown | 3.66 | |||
| Value At Risk | (0.96) | |||
| Potential Upside | 1.11 |
Frontier Markets Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frontier Markets' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frontier Markets' standard deviation. In reality, there are many statistical measures that can use Frontier Markets historical prices to predict the future Frontier Markets' volatility.| Risk Adjusted Performance | 0.0328 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.0382 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Frontier Markets' 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.
Frontier Markets Por Backtested Returns
We consider Frontier Markets very steady. Frontier Markets Por secures Sharpe Ratio (or Efficiency) of 0.0919, which denotes the fund had a 0.0919% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Frontier Markets Portfolio, which you can use to evaluate the volatility of the entity. Please confirm Frontier Markets' Coefficient Of Variation of 1922.58, mean deviation of 0.471, and Downside Deviation of 0.6758 to check if the risk estimate we provide is consistent with the expected return of 0.0607%. The fund shows a Beta (market volatility) of 0.62, which means possible diversification benefits within a given portfolio. As returns on the market increase, Frontier Markets' returns are expected to increase less than the market. However, during the bear market, the loss of holding Frontier Markets is expected to be smaller as well.
Auto-correlation | 0.56 |
Modest predictability
Frontier Markets Portfolio has modest predictability. Overlapping area represents the amount of predictability between Frontier Markets time series from 1st of May 2023 to 28th of October 2023 and 28th of October 2023 to 25th 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 Frontier Markets Por price movement. The serial correlation of 0.56 indicates that roughly 56.0% of current Frontier Markets price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.56 | |
| Spearman Rank Test | 0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.26 |
Frontier Markets Por lagged returns against current returns
Autocorrelation, which is Frontier Markets 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 Frontier Markets' mutual fund expected returns. We can calculate the autocorrelation of Frontier Markets returns to help us make a trade decision. For example, suppose you find that Frontier Markets 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 |
Frontier Markets 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 Frontier Markets mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frontier Markets mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frontier Markets mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Frontier Markets Lagged Returns
When evaluating Frontier Markets' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frontier Markets mutual fund have on its future price. Frontier Markets 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, Frontier Markets autocorrelation shows the relationship between Frontier Markets mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Frontier Markets Portfolio.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Frontier Markets in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Frontier Markets' short interest history, or implied volatility extrapolated from Frontier Markets options trading.
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Try AI Portfolio ArchitectCheck out Frontier Markets Correlation, Frontier Markets Volatility and Frontier Markets Alpha and Beta module to complement your research on Frontier Markets. Note that the Frontier Markets Por information on this page should be used as a complementary analysis to other Frontier Markets' 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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Frontier Markets 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.