Prudential Qma Large Cap Fund Market Value
| PTMQX Fund | USD 20.80 0.05 0.24% |
| Symbol | Prudential |
Prudential Qma '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 Prudential Qma'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 Prudential Qma.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Prudential Qma on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Prudential Qma Large Cap or generate 0.0% return on investment in Prudential Qma over 30 days. Prudential Qma is related to or competes with Prudential Jennison, Prudential Balanced, Prudential Jennison, Prudential Jennison, and Prudential Qma. The fund normally invests at least 80 percent of its investable assets in equity and equity-related securities of large ... More
Prudential Qma 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 Prudential Qma'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 Prudential Qma Large Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8223 | |||
| Information Ratio | 0.0521 | |||
| Maximum Drawdown | 4.93 | |||
| Value At Risk | (1.25) | |||
| Potential Upside | 1.28 |
Prudential Qma Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Prudential Qma's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Prudential Qma's standard deviation. In reality, there are many statistical measures that can use Prudential Qma historical prices to predict the future Prudential Qma's volatility.| Risk Adjusted Performance | 0.0873 | |||
| Jensen Alpha | 0.043 | |||
| Total Risk Alpha | 0.0243 | |||
| Sortino Ratio | 0.0508 | |||
| Treynor Ratio | 0.1025 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Prudential Qma'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.
Prudential Qma Large Backtested Returns
We consider Prudential Qma very steady. Prudential Qma Large 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 Prudential Qma Large, which you can use to evaluate the volatility of the fund. Please check Prudential Qma's Semi Deviation of 0.6175, coefficient of variation of 727.13, and Risk Adjusted Performance of 0.0873 to confirm if the risk estimate we provide is consistent with the expected return of 0.0862%. The fund holds a Beta of 0.98, which implies possible diversification benefits within a given portfolio. Prudential Qma returns are very sensitive to returns on the market. As the market goes up or down, Prudential Qma is expected to follow.
Auto-correlation | 0.50 |
Modest predictability
Prudential Qma Large Cap has modest predictability. Overlapping area represents the amount of predictability between Prudential Qma 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 Prudential Qma Large price movement. The serial correlation of 0.5 indicates that about 50.0% of current Prudential Qma price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Prudential Qma Large lagged returns against current returns
Autocorrelation, which is Prudential Qma 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 Prudential Qma's mutual fund expected returns. We can calculate the autocorrelation of Prudential Qma returns to help us make a trade decision. For example, suppose you find that Prudential Qma 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 |
Prudential Qma 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 Prudential Qma mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Prudential Qma mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Prudential Qma mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Prudential Qma Lagged Returns
When evaluating Prudential Qma's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Prudential Qma mutual fund have on its future price. Prudential Qma 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, Prudential Qma autocorrelation shows the relationship between Prudential Qma mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Prudential Qma Large Cap.
Regressed Prices |
| Timeline |
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Check out Prudential Qma Correlation, Prudential Qma Volatility and Prudential Qma Alpha and Beta module to complement your research on Prudential Qma. You can also try the AI Investment Finder module to use AI to screen and filter profitable investment opportunities.
Prudential Qma 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.