Deutsche Sp 500 Fund Market Value
| SXPCX Fund | USD 43.05 0.51 1.20% |
| Symbol | Deutsche |
Deutsche '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 Deutsche'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 Deutsche.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Deutsche on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Deutsche Sp 500 or generate 0.0% return on investment in Deutsche over 30 days. Deutsche is related to or competes with Morningstar Unconstrained, and SPACE. Under normal circumstances, the advisor intends to invest at least 80 percent of assets, determined at the time of purch... More
Deutsche 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 Deutsche'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 Deutsche Sp 500 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.713 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.55 | |||
| Value At Risk | (1.22) | |||
| Potential Upside | 1.13 |
Deutsche Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deutsche's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deutsche's standard deviation. In reality, there are many statistical measures that can use Deutsche historical prices to predict the future Deutsche's volatility.| Risk Adjusted Performance | 0.0639 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0642 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deutsche'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.
Deutsche Sp 500 Backtested Returns
We consider Deutsche very steady. Deutsche Sp 500 secures Sharpe Ratio (or Efficiency) of 0.0791, which denotes the fund had a 0.0791% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Deutsche Sp 500, which you can use to evaluate the volatility of the entity. Please confirm Deutsche's Downside Deviation of 0.713, mean deviation of 0.5729, and Coefficient Of Variation of 1000.23 to check if the risk estimate we provide is consistent with the expected return of 0.0595%. The fund shows a Beta (market volatility) of 0.99, which means possible diversification benefits within a given portfolio. Deutsche returns are very sensitive to returns on the market. As the market goes up or down, Deutsche is expected to follow.
Auto-correlation | 0.50 |
Modest predictability
Deutsche Sp 500 has modest predictability. Overlapping area represents the amount of predictability between Deutsche time series from 25th of March 2024 to 9th of April 2024 and 9th of April 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 Deutsche Sp 500 price movement. The serial correlation of 0.5 indicates that about 50.0% of current Deutsche price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.44 |
Deutsche Sp 500 lagged returns against current returns
Autocorrelation, which is Deutsche 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 Deutsche's mutual fund expected returns. We can calculate the autocorrelation of Deutsche returns to help us make a trade decision. For example, suppose you find that Deutsche 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 |
Deutsche 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 Deutsche mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deutsche mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deutsche mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Deutsche Lagged Returns
When evaluating Deutsche's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deutsche mutual fund have on its future price. Deutsche 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, Deutsche autocorrelation shows the relationship between Deutsche mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Deutsche Sp 500.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Deutsche Correlation, Deutsche Volatility and Deutsche Alpha and Beta module to complement your research on Deutsche. Note that the Deutsche Sp 500 information on this page should be used as a complementary analysis to other Deutsche'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 Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
Deutsche 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.