Riskproreg Dynamic 20 30 Fund Market Value
| PFJDX Fund | USD 10.35 0.02 0.19% |
| Symbol | Riskproreg |
Riskproreg Dynamic '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 Riskproreg Dynamic'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 Riskproreg Dynamic.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Riskproreg Dynamic on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Riskproreg Dynamic 20 30 or generate 0.0% return on investment in Riskproreg Dynamic over 30 days. Riskproreg Dynamic is related to or competes with Riskproreg, Riskproreg Pfg, Riskproreg Tactical, Riskproreg Dynamic, and Riskproreg Pfg. The fund seeks to achieve its investment objective by investing more than 80 percent of the funds assets, plus any amoun... More
Riskproreg Dynamic 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 Riskproreg Dynamic'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 Riskproreg Dynamic 20 30 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5533 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 2.22 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.8746 |
Riskproreg Dynamic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Riskproreg Dynamic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Riskproreg Dynamic's standard deviation. In reality, there are many statistical measures that can use Riskproreg Dynamic historical prices to predict the future Riskproreg Dynamic's volatility.| Risk Adjusted Performance | 0.0399 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0339 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Riskproreg Dynamic'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.
Riskproreg Dynamic Backtested Returns
We consider Riskproreg Dynamic very steady. Riskproreg Dynamic maintains Sharpe Ratio (i.e., Efficiency) of 0.0509, which implies the entity had a 0.0509% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Riskproreg Dynamic, which you can use to evaluate the volatility of the fund. Please check Riskproreg Dynamic's Semi Deviation of 0.4049, risk adjusted performance of 0.0399, and Coefficient Of Variation of 1452.13 to confirm if the risk estimate we provide is consistent with the expected return of 0.0243%. The fund holds a Beta of 0.7, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Riskproreg Dynamic's returns are expected to increase less than the market. However, during the bear market, the loss of holding Riskproreg Dynamic is expected to be smaller as well.
Auto-correlation | 0.64 |
Good predictability
Riskproreg Dynamic 20 30 has good predictability. Overlapping area represents the amount of predictability between Riskproreg Dynamic time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 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 Riskproreg Dynamic price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Riskproreg Dynamic price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Riskproreg Dynamic lagged returns against current returns
Autocorrelation, which is Riskproreg Dynamic 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 Riskproreg Dynamic's mutual fund expected returns. We can calculate the autocorrelation of Riskproreg Dynamic returns to help us make a trade decision. For example, suppose you find that Riskproreg Dynamic 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 |
Riskproreg Dynamic 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 Riskproreg Dynamic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Riskproreg Dynamic mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Riskproreg Dynamic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Riskproreg Dynamic Lagged Returns
When evaluating Riskproreg Dynamic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Riskproreg Dynamic mutual fund have on its future price. Riskproreg Dynamic 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, Riskproreg Dynamic autocorrelation shows the relationship between Riskproreg Dynamic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Riskproreg Dynamic 20 30.
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 Riskproreg Dynamic 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, Riskproreg Dynamic's short interest history, or implied volatility extrapolated from Riskproreg Dynamic options trading.
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Check out Riskproreg Dynamic Correlation, Riskproreg Dynamic Volatility and Riskproreg Dynamic Alpha and Beta module to complement your research on Riskproreg Dynamic. Note that the Riskproreg Dynamic information on this page should be used as a complementary analysis to other Riskproreg Dynamic'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 Equity Search module to search for actively traded equities including funds and ETFs from over 30 global markets.
Riskproreg Dynamic 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.