Semiconductor Ultrasector Profund Fund Market Value
| SMPIX Fund | USD 236.59 9.29 4.09% |
| Symbol | Semiconductor |
Semiconductor Ultrasector '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 Semiconductor Ultrasector'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 Semiconductor Ultrasector.
| 01/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Semiconductor Ultrasector on January 24, 2024 and sell it all today you would earn a total of 0.00 from holding Semiconductor Ultrasector Profund or generate 0.0% return on investment in Semiconductor Ultrasector over 90 days. Semiconductor Ultrasector is related to or competes with Short Real, Short Real, Ultrashort Mid, Ultrashort Mid-cap, Large Cap, Profunds-large Cap, and Bear Profund. The fund invests in financial instruments that the adviser believes, in combination, should produce daily returns consis... More
Semiconductor Ultrasector 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 Semiconductor Ultrasector'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 Semiconductor Ultrasector Profund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.19 | |||
| Information Ratio | 0.0773 | |||
| Maximum Drawdown | 24.09 | |||
| Value At Risk | (4.96) | |||
| Potential Upside | 5.84 |
Semiconductor Ultrasector Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Semiconductor Ultrasector's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Semiconductor Ultrasector's standard deviation. In reality, there are many statistical measures that can use Semiconductor Ultrasector historical prices to predict the future Semiconductor Ultrasector's volatility.| Risk Adjusted Performance | 0.071 | |||
| Jensen Alpha | 0.1666 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | 0.0881 | |||
| Treynor Ratio | 0.1473 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Semiconductor Ultrasector'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.
Semiconductor Ultrasector Backtested Returns
Semiconductor Ultrasector appears to be very steady, given 3 months investment horizon. Semiconductor Ultrasector owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0622, which indicates the fund had a 0.0622% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Semiconductor Ultrasector Profund, which you can use to evaluate the volatility of the fund. Please review Semiconductor Ultrasector's Semi Deviation of 2.9, coefficient of variation of 982.14, and Risk Adjusted Performance of 0.071 to confirm if our risk estimates are consistent with your expectations. The entity has a beta of 2.45, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Semiconductor Ultrasector will likely underperform.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
Semiconductor Ultrasector Profund has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Semiconductor Ultrasector time series from 24th of January 2024 to 9th of March 2024 and 9th of March 2024 to 23rd 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 Semiconductor Ultrasector price movement. The serial correlation of -0.74 indicates that around 74.0% of current Semiconductor Ultrasector price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 258.94 |
Semiconductor Ultrasector lagged returns against current returns
Autocorrelation, which is Semiconductor Ultrasector 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 Semiconductor Ultrasector's mutual fund expected returns. We can calculate the autocorrelation of Semiconductor Ultrasector returns to help us make a trade decision. For example, suppose you find that Semiconductor Ultrasector 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 |
Semiconductor Ultrasector 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 Semiconductor Ultrasector mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Semiconductor Ultrasector mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Semiconductor Ultrasector mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Semiconductor Ultrasector Lagged Returns
When evaluating Semiconductor Ultrasector's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Semiconductor Ultrasector mutual fund have on its future price. Semiconductor Ultrasector 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, Semiconductor Ultrasector autocorrelation shows the relationship between Semiconductor Ultrasector mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Semiconductor Ultrasector Profund.
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 Semiconductor Ultrasector 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, Semiconductor Ultrasector's short interest history, or implied volatility extrapolated from Semiconductor Ultrasector options trading.
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Check out Semiconductor Ultrasector Correlation, Semiconductor Ultrasector Volatility and Semiconductor Ultrasector Alpha and Beta module to complement your research on Semiconductor Ultrasector. You can also try the Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
Semiconductor Ultrasector 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.