Saat Servative Strategy Fund Market Value
| SICIX Fund | USD 10.28 0.01 0.1% |
| Symbol | Saat |
Saat Servative '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 Saat Servative'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 Saat Servative.
| 10/22/2023 |
| 04/19/2024 |
If you would invest 0.00 in Saat Servative on October 22, 2023 and sell it all today you would earn a total of 0.00 from holding Saat Servative Strategy or generate 0.0% return on investment in Saat Servative over 180 days. Saat Servative is related to or competes with Simt Multi, Saat Market, Simt Real, Simt Small, Siit Screened, Saat Aggressive, and Saat Aggressive. The fund predominantly invests in other SEI Funds, each of which has its own investment goal More
Saat Servative 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 Saat Servative'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 Saat Servative Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3062 | |||
| Information Ratio | (0.29) | |||
| Maximum Drawdown | 1.25 | |||
| Value At Risk | (0.39) | |||
| Potential Upside | 0.293 |
Saat Servative Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Saat Servative's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Saat Servative's standard deviation. In reality, there are many statistical measures that can use Saat Servative historical prices to predict the future Saat Servative's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.21) | |||
| Treynor Ratio | (0.14) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Saat Servative'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.
Saat Servative Strategy Backtested Returns
We consider Saat Servative very steady. Saat Servative Strategy owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.036, which indicates the fund had a 0.036% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Saat Servative Strategy, which you can use to evaluate the volatility of the fund. Please validate Saat Servative's Risk Adjusted Performance of (0.01), semi deviation of 0.2203, and Coefficient Of Variation of 7134.26 to confirm if the risk estimate we provide is consistent with the expected return of 0.0081%. The entity has a beta of 0.0473, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Saat Servative's returns are expected to increase less than the market. However, during the bear market, the loss of holding Saat Servative is expected to be smaller as well.
Auto-correlation | 0.77 |
Good predictability
Saat Servative Strategy has good predictability. Overlapping area represents the amount of predictability between Saat Servative time series from 22nd of October 2023 to 20th of January 2024 and 20th of January 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 Saat Servative Strategy price movement. The serial correlation of 0.77 indicates that around 77.0% of current Saat Servative price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Saat Servative Strategy lagged returns against current returns
Autocorrelation, which is Saat Servative 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 Saat Servative's mutual fund expected returns. We can calculate the autocorrelation of Saat Servative returns to help us make a trade decision. For example, suppose you find that Saat Servative 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 |
Saat Servative 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 Saat Servative mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Saat Servative mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Saat Servative mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Saat Servative Lagged Returns
When evaluating Saat Servative's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Saat Servative mutual fund have on its future price. Saat Servative 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, Saat Servative autocorrelation shows the relationship between Saat Servative mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Saat Servative Strategy.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Saat Servative Correlation, Saat Servative Volatility and Saat Servative Alpha and Beta module to complement your research on Saat Servative. You can also try the Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
Saat Servative 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.