WF Strategic Backtesting

VMPAX -- USA Fund  

USD 9.19  0.02  0.22%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of WF Strategic Municipal Bond Fun and determine expected loss or profit from investing in WF Strategic over given investment horizon. Also please take a look at WF Strategic Hype Analysis, WF Strategic Correlation, Portfolio Optimization, WF Strategic Volatility as well as analyze WF Strategic Alpha and Beta and WF Strategic Performance.
Horizon     30 Days    Login   to change

WF Strategic 'What if' Analysis

July 20, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 18, 2019
If you would invest  0.00  in WF Strategic on July 20, 2019 and sell it all today you would earn a total of 0.00 from holding WF Strategic Municipal Bond Fun or generate 0.0% return on investment in WF Strategic over 90 days. WF Strategic is related to or competes with Vanguard Limited, Vanguard Short, Goldman Sachs, Goldman Sachs, Goldman Sachs, Nuveen Flagship, and American Funds. The investment seeks current income exempt from regular federal income tax

WF Strategic Upside/Downside Indicators

Downside Deviation0.1885
Information Ratio0.3098
Maximum Drawdown0.4799
Value At Risk(0.22)
Potential Upside0.1519

WF Strategic Market Premium Indicators

Risk Adjusted Performance0.0061
Jensen Alpha(0.00003608)
Total Risk Alpha0.0027
Sortino Ratio0.1607
Treynor Ratio(0.03384)

WF Strategic Municipal Backtested Returns

We consider WF Strategic very steady. WF Strategic Municipal retains Efficiency (Sharpe Ratio) of 0.1033 which attests that the fund had 0.1033% of return per unit of price deviation over the last 3 months. Our way in which we are determining volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty technical indicators for WF Strategic which you can use to evaluate future volatility of the fund. Please check out WF Strategic Municipal Bond Fun Market Risk Adjusted Performance of (0.02384) and Variance of 0.0096 to validate if risk estimate we provide are consistent with the epected return of 0.0104%. The entity owns Beta (Systematic Risk) of 0.0114 which attests that as returns on market increase, WF Strategic returns are expected to increase less than the market. However during bear market, the loss on holding WF Strategic will be expected to be smaller as well. Although it is extremely important to respect WF Strategic Municipal existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are determining 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. By inspecting WF Strategic Municipal technical indicators you can at this moment evaluate if the expected return of 0.0104% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.36) 
correlation synergy

Poor reverse predictability

WF Strategic Municipal Bond Fun has poor reverse predictability. Overlapping area represents the amount of predictability between WF Strategic time series from July 20, 2019 to September 3, 2019 and September 3, 2019 to October 18, 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 WF Strategic Municipal price movement. The serial correlation of -0.36 indicates that just about 36.0% of current WF Strategic price fluctuation can be explain by its past prices. Given that WF Strategic Municipal Bond Fun has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of WF Strategic for similar time interval.
Correlation Coefficient-0.36
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

WF Strategic Municipal lagged returns against current returns

 Current and Lagged Values 

WF Strategic regressed lagged prices vs. current prices

 Current vs Lagged Prices 

WF Strategic Lagged Returns

 Regressed Prices 

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Also please take a look at WF Strategic Hype Analysis, WF Strategic Correlation, Portfolio Optimization, WF Strategic Volatility as well as analyze WF Strategic Alpha and Beta and WF Strategic Performance. Please also try Competition Analyzer module to analyze and compare many basic indicators for a group of related or unrelated entities.