Simt Multi Strategy Alternative Fund Market Value
| SMSAX Fund | USD 9.51 0.02 0.21% |
| Symbol | Simt |
Simt Multi '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 Simt Multi'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 Simt Multi.
| 10/22/2023 |
| 04/19/2024 |
If you would invest 0.00 in Simt Multi on October 22, 2023 and sell it all today you would earn a total of 0.00 from holding Simt Multi Strategy Alternative or generate 0.0% return on investment in Simt Multi over 180 days. Simt Multi is related to or competes with Simt Multi, Saat Market, Simt Real, Simt Small, Siit Screened, Saat Aggressive, and Saat Aggressive. The advisor employs a strategy intended to generate an absolute return in various market cycles with reduced correlation... More
Simt Multi 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 Simt Multi'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 Simt Multi Strategy Alternative upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2798 | |||
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 1.06 | |||
| Value At Risk | (0.42) | |||
| Potential Upside | 0.4188 |
Simt Multi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Simt Multi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Simt Multi's standard deviation. In reality, there are many statistical measures that can use Simt Multi historical prices to predict the future Simt Multi's volatility.| Risk Adjusted Performance | 0.072 | |||
| Jensen Alpha | 0.0067 | |||
| Total Risk Alpha | 0.0013 | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.0809 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Simt Multi'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.
Simt Multi Strategy Backtested Returns
We consider Simt Multi very steady. Simt Multi Strategy owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Simt Multi Strategy Alternative, which you can use to evaluate the volatility of the fund. Please validate Simt Multi's Coefficient Of Variation of 704.46, semi deviation of 0.1488, and Risk Adjusted Performance of 0.072 to confirm if the risk estimate we provide is consistent with the expected return of 0.0311%. The entity has a beta of 0.3, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Simt Multi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Simt Multi is expected to be smaller as well.
Auto-correlation | 0.89 |
Very good predictability
Simt Multi Strategy Alternative has very good predictability. Overlapping area represents the amount of predictability between Simt Multi 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 Simt Multi Strategy price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Simt Multi price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Simt Multi Strategy lagged returns against current returns
Autocorrelation, which is Simt Multi 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 Simt Multi's mutual fund expected returns. We can calculate the autocorrelation of Simt Multi returns to help us make a trade decision. For example, suppose you find that Simt Multi 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 |
Simt Multi 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 Simt Multi mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Simt Multi mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Simt Multi mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Simt Multi Lagged Returns
When evaluating Simt Multi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Simt Multi mutual fund have on its future price. Simt Multi 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, Simt Multi autocorrelation shows the relationship between Simt Multi mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Simt Multi Strategy Alternative.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Simt Multi Correlation, Simt Multi Volatility and Simt Multi Alpha and Beta module to complement your research on Simt Multi. Note that the Simt Multi Strategy information on this page should be used as a complementary analysis to other Simt Multi's 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Simt Multi 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.