Holbrook Income Fund Market Value
| HOBAX Fund | USD 9.58 0.01 0.10% |
| Symbol | Holbrook |
Holbrook Income '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 Holbrook Income'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 Holbrook Income.
| 12/21/2023 |
| 04/19/2024 |
If you would invest 0.00 in Holbrook Income on December 21, 2023 and sell it all today you would earn a total of 0.00 from holding Holbrook Income or generate 0.0% return on investment in Holbrook Income over 120 days. Holbrook Income is related to or competes with Holbrook Income, Holbrook Income, Holbrook Structured, Holbrook Structured, and Holbrook Structured. The fund normally invests at least 80 percent of its net assets, including any borrowings for investment purposes, in a ... More
Holbrook Income 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 Holbrook Income'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 Holbrook Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2413 | |||
| Information Ratio | (0.26) | |||
| Maximum Drawdown | 1.48 | |||
| Value At Risk | (0.31) | |||
| Potential Upside | 0.4215 |
Holbrook Income Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Holbrook Income's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Holbrook Income's standard deviation. In reality, there are many statistical measures that can use Holbrook Income historical prices to predict the future Holbrook Income's volatility.| Risk Adjusted Performance | 0.0185 | |||
| Jensen Alpha | 0.0041 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.23) | |||
| Treynor Ratio | (0.15) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Holbrook Income'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.
Holbrook Income Backtested Returns
We consider Holbrook Income very steady. Holbrook Income holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Holbrook Income, which you can use to evaluate the volatility of the entity. Please check out Holbrook Income's Risk Adjusted Performance of 0.0185, downside deviation of 0.2413, and Market Risk Adjusted Performance of (0.14) to validate if the risk estimate we provide is consistent with the expected return of 0.0257%. The fund retains a Market Volatility (i.e., Beta) of -0.0195, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Holbrook Income are expected to decrease at a much lower rate. During the bear market, Holbrook Income is likely to outperform the market.
Auto-correlation | 0.69 |
Good predictability
Holbrook Income has good predictability. Overlapping area represents the amount of predictability between Holbrook Income time series from 21st of December 2023 to 19th of February 2024 and 19th of February 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 Holbrook Income price movement. The serial correlation of 0.69 indicates that around 69.0% of current Holbrook Income price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Holbrook Income lagged returns against current returns
Autocorrelation, which is Holbrook Income 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 Holbrook Income's mutual fund expected returns. We can calculate the autocorrelation of Holbrook Income returns to help us make a trade decision. For example, suppose you find that Holbrook Income 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 |
Holbrook Income 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 Holbrook Income mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Holbrook Income mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Holbrook Income mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Holbrook Income Lagged Returns
When evaluating Holbrook Income's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Holbrook Income mutual fund have on its future price. Holbrook Income 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, Holbrook Income autocorrelation shows the relationship between Holbrook Income mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Holbrook Income.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Holbrook Income Correlation, Holbrook Income Volatility and Holbrook Income Alpha and Beta module to complement your research on Holbrook Income. Note that the Holbrook Income information on this page should be used as a complementary analysis to other Holbrook Income'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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Holbrook Income 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.