California Municipal Fund Market Value
| PCMFX Fund | USD 9.79 0.01 0.10% |
| Symbol | California |
California Municipal '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 California Municipal'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 California Municipal.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in California Municipal on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding California Municipal Fund or generate 0.0% return on investment in California Municipal over 60 days. California Municipal is related to or competes with Vanguard California, Vanguard California, Brf Clf, and California Intermediate. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
California Municipal 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 California Municipal'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 California Municipal Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2126 | |||
| Information Ratio | (0.60) | |||
| Maximum Drawdown | 0.9178 | |||
| Value At Risk | (0.20) | |||
| Potential Upside | 0.2053 |
California Municipal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for California Municipal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as California Municipal's standard deviation. In reality, there are many statistical measures that can use California Municipal historical prices to predict the future California Municipal's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.43) | |||
| Treynor Ratio | 0.6284 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of California Municipal'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.
California Municipal Backtested Returns
We consider California Municipal very steady. California Municipal secures Sharpe Ratio (or Efficiency) of 0.0546, which signifies that the fund had a 0.0546% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for California Municipal Fund, which you can use to evaluate the volatility of the entity. Please confirm California Municipal's Mean Deviation of 0.0972, downside deviation of 0.2126, and Risk Adjusted Performance of (0.02) to double-check if the risk estimate we provide is consistent with the expected return of 0.0084%. The fund shows a Beta (market volatility) of -0.0108, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning California Municipal are expected to decrease at a much lower rate. During the bear market, California Municipal is likely to outperform the market.
Auto-correlation | -0.6 |
Good reverse predictability
California Municipal Fund has good reverse predictability. Overlapping area represents the amount of predictability between California Municipal time series from 24th of February 2024 to 25th of March 2024 and 25th of March 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 California Municipal price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current California Municipal price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
California Municipal lagged returns against current returns
Autocorrelation, which is California Municipal 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 California Municipal's mutual fund expected returns. We can calculate the autocorrelation of California Municipal returns to help us make a trade decision. For example, suppose you find that California Municipal 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 |
California Municipal 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 California Municipal mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if California Municipal mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in California Municipal mutual fund over time.
Current vs Lagged Prices |
| Timeline |
California Municipal Lagged Returns
When evaluating California Municipal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of California Municipal mutual fund have on its future price. California Municipal 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, California Municipal autocorrelation shows the relationship between California Municipal mutual fund current value and its past values and can show if there is a momentum factor associated with investing in California Municipal Fund.
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 California Municipal 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, California Municipal's short interest history, or implied volatility extrapolated from California Municipal options trading.
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Check out California Municipal Correlation, California Municipal Volatility and California Municipal Alpha and Beta module to complement your research on California Municipal. Note that the California Municipal information on this page should be used as a complementary analysis to other California Municipal'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 Global Correlations module to find global opportunities by holding instruments from different markets.
California Municipal 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.