Metropolitan West Alpha Fund Market Value
| MWATX Fund | USD 11.75 0.01 0.09% |
| Symbol | Metropolitan |
Metropolitan West '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 Metropolitan West'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 Metropolitan West.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Metropolitan West on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Metropolitan West Alpha or generate 0.0% return on investment in Metropolitan West over 30 days. Metropolitan West is related to or competes with Morningstar Unconstrained, and SPACE. The fund is an enhanced SP 500 Index fund that combines a fixed-income portfolio with non-leveraged investments in SP 50... More
Metropolitan West 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 Metropolitan West'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 Metropolitan West Alpha upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8501 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.64 | |||
| Value At Risk | (1.32) | |||
| Potential Upside | 1.29 |
Metropolitan West Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Metropolitan West's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Metropolitan West's standard deviation. In reality, there are many statistical measures that can use Metropolitan West historical prices to predict the future Metropolitan West's volatility.| Risk Adjusted Performance | 0.0556 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0585 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Metropolitan West'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.
Metropolitan West Alpha Backtested Returns
We consider Metropolitan West out of control. Metropolitan West Alpha has Sharpe Ratio of 0.0627, which conveys that the entity had a 0.0627% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Metropolitan West, which you can use to evaluate the volatility of the fund. Please verify Metropolitan West's Downside Deviation of 0.8501, risk adjusted performance of 0.0556, and Mean Deviation of 0.6272 to check out if the risk estimate we provide is consistent with the expected return of 0.0529%. The fund secures a Beta (Market Risk) of 1.04, which conveys a somewhat significant risk relative to the market. Metropolitan West returns are very sensitive to returns on the market. As the market goes up or down, Metropolitan West is expected to follow.
Auto-correlation | 0.65 |
Good predictability
Metropolitan West Alpha has good predictability. Overlapping area represents the amount of predictability between Metropolitan West time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Metropolitan West Alpha price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Metropolitan West price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Metropolitan West Alpha lagged returns against current returns
Autocorrelation, which is Metropolitan West 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 Metropolitan West's mutual fund expected returns. We can calculate the autocorrelation of Metropolitan West returns to help us make a trade decision. For example, suppose you find that Metropolitan West 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 |
Metropolitan West 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 Metropolitan West mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Metropolitan West mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Metropolitan West mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Metropolitan West Lagged Returns
When evaluating Metropolitan West's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Metropolitan West mutual fund have on its future price. Metropolitan West 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, Metropolitan West autocorrelation shows the relationship between Metropolitan West mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Metropolitan West Alpha.
Regressed Prices |
| Timeline |
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Metropolitan West 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.