Roumell Opportunistic Value Fund Market Value
| RAMSX Fund | USD 4.86 0.06 1.25% |
| Symbol | Roumell |
Roumell Opportunistic '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 Roumell Opportunistic'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 Roumell Opportunistic.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in Roumell Opportunistic on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Roumell Opportunistic Value or generate 0.0% return on investment in Roumell Opportunistic over 60 days. Roumell Opportunistic is related to or competes with Sector Rotation, Gabelli Equity, Standpoint Multi-asset, Invesco Floating, Thrivent Moderately, Fidelity Capital, and Pace International. The funds portfolio will primarily consist of domestic and foreign equity securities domestic and foreign fixed income s... More
Roumell Opportunistic 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 Roumell Opportunistic'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 Roumell Opportunistic Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | 0.0138 | |||
| Maximum Drawdown | 5.13 | |||
| Value At Risk | (1.42) | |||
| Potential Upside | 1.91 |
Roumell Opportunistic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Roumell Opportunistic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Roumell Opportunistic's standard deviation. In reality, there are many statistical measures that can use Roumell Opportunistic historical prices to predict the future Roumell Opportunistic's volatility.| Risk Adjusted Performance | 0.0714 | |||
| Jensen Alpha | 0.0111 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | 0.0124 | |||
| Treynor Ratio | 0.0901 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Roumell Opportunistic'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.
Roumell Opportunistic Backtested Returns
We consider Roumell Opportunistic not too volatile. Roumell Opportunistic maintains Sharpe Ratio (i.e., Efficiency) of 0.0939, which implies the entity had a 0.0939% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Roumell Opportunistic, which you can use to evaluate the volatility of the fund. Please check Roumell Opportunistic's Coefficient Of Variation of 905.18, semi deviation of 0.8042, and Risk Adjusted Performance of 0.0714 to confirm if the risk estimate we provide is consistent with the expected return of 0.0897%. The fund holds a Beta of 1.02, which implies a somewhat significant risk relative to the market. Roumell Opportunistic returns are very sensitive to returns on the market. As the market goes up or down, Roumell Opportunistic is expected to follow.
Auto-correlation | -0.42 |
Modest reverse predictability
Roumell Opportunistic Value has modest reverse predictability. Overlapping area represents the amount of predictability between Roumell Opportunistic 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 Roumell Opportunistic price movement. The serial correlation of -0.42 indicates that just about 42.0% of current Roumell Opportunistic price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.42 | |
| Spearman Rank Test | -0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Roumell Opportunistic lagged returns against current returns
Autocorrelation, which is Roumell Opportunistic 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 Roumell Opportunistic's mutual fund expected returns. We can calculate the autocorrelation of Roumell Opportunistic returns to help us make a trade decision. For example, suppose you find that Roumell Opportunistic 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 |
Roumell Opportunistic 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 Roumell Opportunistic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Roumell Opportunistic mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Roumell Opportunistic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Roumell Opportunistic Lagged Returns
When evaluating Roumell Opportunistic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Roumell Opportunistic mutual fund have on its future price. Roumell Opportunistic 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, Roumell Opportunistic autocorrelation shows the relationship between Roumell Opportunistic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Roumell Opportunistic Value.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Roumell Opportunistic Correlation, Roumell Opportunistic Volatility and Roumell Opportunistic Alpha and Beta module to complement your research on Roumell Opportunistic. You can also try the Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Roumell Opportunistic 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.