Frost Total Return Fund Market Value
| FATRX Fund | USD 9.69 0.02 0.21% |
| Symbol | Frost |
Frost Total '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 Frost Total'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 Frost Total.
| 03/18/2024 |
| 05/17/2024 |
If you would invest 0.00 in Frost Total on March 18, 2024 and sell it all today you would earn a total of 0.00 from holding Frost Total Return or generate 0.0% return on investment in Frost Total over 60 days. Frost Total is related to or competes with Vanguard Short, Vanguard Short, Vanguard Short, and Lord Abbett. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
Frost Total 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 Frost Total'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 Frost Total Return upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3189 | |||
| Information Ratio | (0.29) | |||
| Maximum Drawdown | 1.25 | |||
| Value At Risk | (0.42) | |||
| Potential Upside | 0.4184 |
Frost Total Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frost Total's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frost Total's standard deviation. In reality, there are many statistical measures that can use Frost Total historical prices to predict the future Frost Total's volatility.| Risk Adjusted Performance | 0.0739 | |||
| Jensen Alpha | 0.0127 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.23) | |||
| Treynor Ratio | 0.1882 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Frost Total'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.
Frost Total Return Backtested Returns
We consider Frost Total very steady. Frost Total Return secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Frost Total Return, which you can use to evaluate the volatility of the entity. Please confirm Frost Total's Mean Deviation of 0.1948, coefficient of variation of 678.25, and Downside Deviation of 0.3189 to check if the risk estimate we provide is consistent with the expected return of 0.034%. The fund shows a Beta (market volatility) of 0.14, which means not very significant fluctuations relative to the market. As returns on the market increase, Frost Total's returns are expected to increase less than the market. However, during the bear market, the loss of holding Frost Total is expected to be smaller as well.
Auto-correlation | -0.77 |
Almost perfect reverse predictability
Frost Total Return has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Frost Total time series from 18th of March 2024 to 17th of April 2024 and 17th of April 2024 to 17th of May 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 Frost Total Return price movement. The serial correlation of -0.77 indicates that around 77.0% of current Frost Total price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.77 | |
| Spearman Rank Test | -0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Frost Total Return lagged returns against current returns
Autocorrelation, which is Frost Total 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 Frost Total's mutual fund expected returns. We can calculate the autocorrelation of Frost Total returns to help us make a trade decision. For example, suppose you find that Frost Total 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 |
Frost Total 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 Frost Total mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frost Total mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frost Total mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Frost Total Lagged Returns
When evaluating Frost Total's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frost Total mutual fund have on its future price. Frost Total 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, Frost Total autocorrelation shows the relationship between Frost Total mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Frost Total Return.
Regressed Prices |
| Timeline |
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Check out Frost Total Correlation, Frost Total Volatility and Frost Total Alpha and Beta module to complement your research on Frost Total. You can also try the Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
Frost Total 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.