PGIM QMA Backtesting

SPRAX -- USA Fund  

USD 18.00  0.15  0.84%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of PGIM QMA Mid Cap Value Fund Cla and determine expected loss or profit from investing in PGIM QMA over given investment horizon. Also please take a look at PGIM QMA Hype Analysis, PGIM QMA Correlation, Portfolio Optimization, PGIM QMA Volatility as well as analyze PGIM QMA Alpha and Beta and PGIM QMA Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

PGIM QMA 'What if' Analysis

June 18, 2019
0.00
No Change 0.00  0.0%
In 2 months and 31 days
September 16, 2019
0.00
If you would invest  0.00  in PGIM QMA on June 18, 2019 and sell it all today you would earn a total of 0.00 from holding PGIM QMA Mid Cap Value Fund Cla or generate 0.0% return on investment in PGIM QMA over 90 days. PGIM QMA is related to or competes with Vanguard Mid, Vanguard Mid, JPMorgan Mid, John Hancock, John Hancock, T Rowe, and T Rowe. The fund normally invests at least 80 percent of its investable assets in equity and equity-related securities of mid-ca...

PGIM QMA Upside/Downside Indicators

Downside Deviation0.6502
Information Ratio0.0527
Maximum Drawdown2.72
Value At Risk(0.77)
Potential Upside1.11

PGIM QMA Market Premium Indicators

Risk Adjusted Performance0.0846
Jensen Alpha0.0413
Total Risk Alpha0.0327
Sortino Ratio0.0396
Treynor Ratio(12.49)

PGIM QMA Mid Backtested Returns

Macroaxis considers PGIM QMA not too volatile given 3 months investment horizon. PGIM QMA Mid maintains Sharpe Ratio (i.e. Efficiency) of 0.7626 which implies the entity had 0.7626% of return per unit of volatility over the last 3 months. Our way of forecasting volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. By evaluating PGIM QMA Mid technical indicators you can today evaluate if the expected return of 0.8555% is justified by implied risk. Please employ PGIM QMA Mid Semi Deviation of 0.2401 and Risk Adjusted Performance of 0.0846 to confirm if our risk estimates are consistent with your expectations. The fund holds Beta of -0.0033 which implies as returns on market increase, returns on owning PGIM QMA are expected to decrease at a much smaller rate. During bear market, PGIM QMA is likely to outperform the market. Although it is vital to follow to PGIM QMA Mid current trending patterns, it is good to be conservative about what you can actually do with the information regarding equity existing price patterns. The way of forecasting future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. We have found twenty-one technical indicators for PGIM QMA Mid which you can use to evaluate performance of the fund.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 
correlation synergy

No correlation between past and present

PGIM QMA Mid Cap Value Fund Cla has no correlation between past and present. Overlapping area represents the amount of predictability between PGIM QMA time series from June 18, 2019 to August 2, 2019 and August 2, 2019 to September 16, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of PGIM QMA Mid price movement. The serial correlation of 0.0 indicates that just 0.0% of current PGIM QMA price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

PGIM QMA Mid lagged returns against current returns

 Current and Lagged Values 
      Timeline 

PGIM QMA regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

PGIM QMA Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at PGIM QMA Hype Analysis, PGIM QMA Correlation, Portfolio Optimization, PGIM QMA Volatility as well as analyze PGIM QMA Alpha and Beta and PGIM QMA Performance. Please also try Money Managers module to screen money managers from public funds and etfs managed around the world.
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