Virtus Multi Sector Intermediate Fund Market Value
| NCMFX Fund | USD 9.13 0.02 0.22% |
| Symbol | Virtus |
Virtus Multi '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 Virtus Multi'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 Virtus Multi.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in Virtus Multi on May 6, 2022 and sell it all today you would earn a total of 0.00 from holding Virtus Multi Sector Intermediate or generate 0.0% return on investment in Virtus Multi over 720 days. Virtus Multi is related to or competes with Merck, Chevron Corp, and MagnaChip Semiconductor. The fund seeks to generate high current income and total return while preserving capital by applying extensive credit re... More
Virtus Multi 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 Virtus Multi'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 Virtus Multi Sector Intermediate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2952 | |||
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 1.31 | |||
| Value At Risk | (0.44) | |||
| Potential Upside | 0.325 |
Virtus Multi Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Virtus Multi's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Virtus Multi's standard deviation. In reality, there are many statistical measures that can use Virtus Multi historical prices to predict the future Virtus Multi's volatility.| Risk Adjusted Performance | 0.0195 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.28) | |||
| Treynor Ratio | 0.0262 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Virtus Multi'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.
Virtus Multi Sector Backtested Returns
We consider Virtus Multi very steady. Virtus Multi Sector owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0453, which indicates the fund had a 0.0453% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Virtus Multi Sector Intermediate, which you can use to evaluate the volatility of the fund. Please validate Virtus Multi's Semi Deviation of 0.1919, risk adjusted performance of 0.0195, and Coefficient Of Variation of 1750.87 to confirm if the risk estimate we provide is consistent with the expected return of 0.0109%. The entity has a beta of 0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Virtus Multi's returns are expected to increase less than the market. However, during the bear market, the loss of holding Virtus Multi is expected to be smaller as well.
Auto-correlation | 0.59 |
Modest predictability
Virtus Multi Sector Intermediate has modest predictability. Overlapping area represents the amount of predictability between Virtus Multi time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 to 25th 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 Virtus Multi Sector price movement. The serial correlation of 0.59 indicates that roughly 59.0% of current Virtus Multi price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.59 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Virtus Multi Sector lagged returns against current returns
Autocorrelation, which is Virtus Multi 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 Virtus Multi's mutual fund expected returns. We can calculate the autocorrelation of Virtus Multi returns to help us make a trade decision. For example, suppose you find that Virtus Multi 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 |
Virtus Multi 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 Virtus Multi mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Virtus Multi mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Virtus Multi mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Virtus Multi Lagged Returns
When evaluating Virtus Multi's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Virtus Multi mutual fund have on its future price. Virtus Multi 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, Virtus Multi autocorrelation shows the relationship between Virtus Multi mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Virtus Multi Sector Intermediate.
Regressed Prices |
| Timeline |
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Virtus Multi 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.