Massmutual Retiresmart Servative Fund Market Value
| MCTAX Fund | USD 8.61 0.03 0.35% |
| Symbol | Massmutual |
Massmutual Retiresmart '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 Massmutual Retiresmart'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 Massmutual Retiresmart.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Massmutual Retiresmart on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Massmutual Retiresmart Servative or generate 0.0% return on investment in Massmutual Retiresmart over 30 days. Massmutual Retiresmart is related to or competes with HUMANA, Thrivent High, Morningstar Unconstrained, High Yield, Via Renewables, and T Rowe. The fund is a fund of funds that seeks to achieve its investment objective by investing in a combination of U.S More
Massmutual Retiresmart 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 Massmutual Retiresmart'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 Massmutual Retiresmart Servative upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.21) | |||
| Maximum Drawdown | 1.93 | |||
| Value At Risk | (0.80) | |||
| Potential Upside | 0.4577 |
Massmutual Retiresmart Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Massmutual Retiresmart's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Massmutual Retiresmart's standard deviation. In reality, there are many statistical measures that can use Massmutual Retiresmart historical prices to predict the future Massmutual Retiresmart's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | (0.56) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Massmutual Retiresmart'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.
Massmutual Retiresmart Backtested Returns
Massmutual Retiresmart has Sharpe Ratio of -0.0445, which conveys that the entity had a -0.0445% return per unit of risk over the last 3 months. Massmutual Retiresmart exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Massmutual Retiresmart's Standard Deviation of 0.3956, mean deviation of 0.2928, and Risk Adjusted Performance of (0.05) to check out the risk estimate we provide. The fund secures a Beta (Market Risk) of 0.0665, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Massmutual Retiresmart's returns are expected to increase less than the market. However, during the bear market, the loss of holding Massmutual Retiresmart is expected to be smaller as well.
Auto-correlation | 0.19 |
Very weak predictability
Massmutual Retiresmart Servative has very weak predictability. Overlapping area represents the amount of predictability between Massmutual Retiresmart time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Massmutual Retiresmart price movement. The serial correlation of 0.19 indicates that over 19.0% of current Massmutual Retiresmart price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Massmutual Retiresmart lagged returns against current returns
Autocorrelation, which is Massmutual Retiresmart 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 Massmutual Retiresmart's mutual fund expected returns. We can calculate the autocorrelation of Massmutual Retiresmart returns to help us make a trade decision. For example, suppose you find that Massmutual Retiresmart 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 |
Massmutual Retiresmart 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 Massmutual Retiresmart mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Massmutual Retiresmart mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Massmutual Retiresmart mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Massmutual Retiresmart Lagged Returns
When evaluating Massmutual Retiresmart's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Massmutual Retiresmart mutual fund have on its future price. Massmutual Retiresmart 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, Massmutual Retiresmart autocorrelation shows the relationship between Massmutual Retiresmart mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Massmutual Retiresmart Servative.
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 Massmutual Retiresmart Correlation, Massmutual Retiresmart Volatility and Massmutual Retiresmart Alpha and Beta module to complement your research on Massmutual Retiresmart. Note that the Massmutual Retiresmart information on this page should be used as a complementary analysis to other Massmutual Retiresmart'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 Efficient Frontier module to plot and analyze your portfolio and positions against risk-return landscape of the market..
Massmutual Retiresmart 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.