Kcm Macro Trends Fund Market Value
| KCMIX Fund | USD 11.36 0.12 1.05% |
| Symbol | Kcm |
Kcm Macro '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 Kcm Macro'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 Kcm Macro.
| 10/22/2023 |
| 04/19/2024 |
If you would invest 0.00 in Kcm Macro on October 22, 2023 and sell it all today you would earn a total of 0.00 from holding Kcm Macro Trends or generate 0.0% return on investment in Kcm Macro over 180 days. Kcm Macro is related to or competes with Kcm Macro, Equinox Chesapeake, Equinox Chesapeake, Equinox Chesapeake, and Axs Sustainable. The fund employs a flexible investment strategy, meaning it has the freedom to invest globally in companies of all sizes... More
Kcm Macro 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 Kcm Macro'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 Kcm Macro Trends upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.656 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.59 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 0.9434 |
Kcm Macro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Kcm Macro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Kcm Macro's standard deviation. In reality, there are many statistical measures that can use Kcm Macro historical prices to predict the future Kcm Macro's volatility.| Risk Adjusted Performance | 0.042 | |||
| Jensen Alpha | 0.0275 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.9163 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Kcm Macro'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.
Kcm Macro Trends Backtested Returns
We consider Kcm Macro very steady. Kcm Macro Trends has Sharpe Ratio of 0.0478, which conveys that the entity had a 0.0478% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Kcm Macro, which you can use to evaluate the volatility of the fund. Please verify Kcm Macro's Risk Adjusted Performance of 0.042, downside deviation of 0.656, and Mean Deviation of 0.4249 to check out if the risk estimate we provide is consistent with the expected return of 0.0274%. The fund secures a Beta (Market Risk) of 0.0321, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Kcm Macro's returns are expected to increase less than the market. However, during the bear market, the loss of holding Kcm Macro is expected to be smaller as well.
Auto-correlation | 0.79 |
Good predictability
Kcm Macro Trends has good predictability. Overlapping area represents the amount of predictability between Kcm Macro time series from 22nd of October 2023 to 20th of January 2024 and 20th of January 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 Kcm Macro Trends price movement. The serial correlation of 0.79 indicates that around 79.0% of current Kcm Macro price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Kcm Macro Trends lagged returns against current returns
Autocorrelation, which is Kcm Macro 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 Kcm Macro's mutual fund expected returns. We can calculate the autocorrelation of Kcm Macro returns to help us make a trade decision. For example, suppose you find that Kcm Macro 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 |
Kcm Macro 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 Kcm Macro mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Kcm Macro mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Kcm Macro mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Kcm Macro Lagged Returns
When evaluating Kcm Macro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Kcm Macro mutual fund have on its future price. Kcm Macro 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, Kcm Macro autocorrelation shows the relationship between Kcm Macro mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Kcm Macro Trends.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Kcm Macro in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Kcm Macro's short interest history, or implied volatility extrapolated from Kcm Macro options trading.
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Kcm Macro 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.