Oshaughnessy Market Leaders Fund Market Value
| OFVIX Fund | USD 18.86 0.02 0.11% |
| Symbol | Oshaughnessy |
Oshaughnessy Market '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 Oshaughnessy Market'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 Oshaughnessy Market.
| 05/30/2022 |
| 04/19/2024 |
If you would invest 0.00 in Oshaughnessy Market on May 30, 2022 and sell it all today you would earn a total of 0.00 from holding Oshaughnessy Market Leaders or generate 0.0% return on investment in Oshaughnessy Market over 690 days. Oshaughnessy Market is related to or competes with Blackrock Basic, Morningstar International, Europacific Growth, Oakmark Fund, Gqg Partners, and Gabelli Equity. Under normal market conditions, the fund invests primarily in a diversified portfolio of common stocks and other equity ... More
Oshaughnessy Market 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 Oshaughnessy Market'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 Oshaughnessy Market Leaders upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7175 | |||
| Information Ratio | 0.029 | |||
| Maximum Drawdown | 3.39 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 1.19 |
Oshaughnessy Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Oshaughnessy Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Oshaughnessy Market's standard deviation. In reality, there are many statistical measures that can use Oshaughnessy Market historical prices to predict the future Oshaughnessy Market's volatility.| Risk Adjusted Performance | 0.0813 | |||
| Jensen Alpha | 0.0244 | |||
| Total Risk Alpha | 0.0139 | |||
| Sortino Ratio | 0.0274 | |||
| Treynor Ratio | 0.0851 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Oshaughnessy Market'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.
Oshaughnessy Market Backtested Returns
We consider Oshaughnessy Market very steady. Oshaughnessy Market maintains Sharpe Ratio (i.e., Efficiency) of 0.11, which implies the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Oshaughnessy Market, which you can use to evaluate the volatility of the fund. Please check Oshaughnessy Market's Coefficient Of Variation of 768.74, risk adjusted performance of 0.0813, and Semi Deviation of 0.5437 to confirm if the risk estimate we provide is consistent with the expected return of 0.0718%. The fund holds a Beta of 0.92, which implies possible diversification benefits within a given portfolio. Oshaughnessy Market returns are very sensitive to returns on the market. As the market goes up or down, Oshaughnessy Market is expected to follow.
Auto-correlation | 0.32 |
Below average predictability
Oshaughnessy Market Leaders has below average predictability. Overlapping area represents the amount of predictability between Oshaughnessy Market time series from 30th of May 2022 to 10th of May 2023 and 10th of May 2023 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 Oshaughnessy Market price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current Oshaughnessy Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.32 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 1.65 |
Oshaughnessy Market lagged returns against current returns
Autocorrelation, which is Oshaughnessy Market 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 Oshaughnessy Market's mutual fund expected returns. We can calculate the autocorrelation of Oshaughnessy Market returns to help us make a trade decision. For example, suppose you find that Oshaughnessy Market 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 |
Oshaughnessy Market 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 Oshaughnessy Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Oshaughnessy Market mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Oshaughnessy Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Oshaughnessy Market Lagged Returns
When evaluating Oshaughnessy Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Oshaughnessy Market mutual fund have on its future price. Oshaughnessy Market 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, Oshaughnessy Market autocorrelation shows the relationship between Oshaughnessy Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Oshaughnessy Market Leaders.
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 Oshaughnessy Market 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, Oshaughnessy Market's short interest history, or implied volatility extrapolated from Oshaughnessy Market options trading.
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Oshaughnessy Market 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.