Quantified Stf Fund Market Value
| QSTFX Fund | USD 15.51 0.53 3.30% |
| Symbol | Quantified |
Quantified Stf '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 Quantified Stf'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 Quantified Stf.
| 04/22/2023 |
| 04/16/2024 |
If you would invest 0.00 in Quantified Stf on April 22, 2023 and sell it all today you would earn a total of 0.00 from holding Quantified Stf Fund or generate 0.0% return on investment in Quantified Stf over 360 days. Quantified Stf is related to or competes with Ontrack Core, Spectrum Unconstrained, Quantified Market, Spectrum Low, Hundredfold Select, Quantified Alternative, and Quantified Alternative. The funds investment adviser delegates execution of the funds investment strategy to the Subadviser, Flexible Plan Inves... More
Quantified Stf 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 Quantified Stf'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 Quantified Stf Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.88 | |||
| Information Ratio | 0.0762 | |||
| Maximum Drawdown | 9.41 | |||
| Value At Risk | (3.23) | |||
| Potential Upside | 3.17 |
Quantified Stf Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Quantified Stf's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Quantified Stf's standard deviation. In reality, there are many statistical measures that can use Quantified Stf historical prices to predict the future Quantified Stf's volatility.| Risk Adjusted Performance | 0.0746 | |||
| Jensen Alpha | 0.2116 | |||
| Total Risk Alpha | 0.0373 | |||
| Sortino Ratio | 0.0793 | |||
| Treynor Ratio | (1.14) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Quantified Stf'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.
Quantified Stf Backtested Returns
We consider Quantified Stf not too volatile. Quantified Stf maintains Sharpe Ratio (i.e., Efficiency) of 0.0797, which implies the entity had a 0.0797% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Quantified Stf, which you can use to evaluate the volatility of the fund. Please check Quantified Stf's Risk Adjusted Performance of 0.0746, coefficient of variation of 924.56, and Semi Deviation of 1.67 to confirm if the risk estimate we provide is consistent with the expected return of 0.16%. The fund holds a Beta of -0.18, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Quantified Stf are expected to decrease at a much lower rate. During the bear market, Quantified Stf is likely to outperform the market.
Auto-correlation | 0.60 |
Good predictability
Quantified Stf Fund has good predictability. Overlapping area represents the amount of predictability between Quantified Stf time series from 22nd of April 2023 to 19th of October 2023 and 19th of October 2023 to 16th 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 Quantified Stf price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current Quantified Stf price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.6 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 2.69 |
Quantified Stf lagged returns against current returns
Autocorrelation, which is Quantified Stf 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 Quantified Stf's mutual fund expected returns. We can calculate the autocorrelation of Quantified Stf returns to help us make a trade decision. For example, suppose you find that Quantified Stf 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 |
Quantified Stf 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 Quantified Stf mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Quantified Stf mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Quantified Stf mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Quantified Stf Lagged Returns
When evaluating Quantified Stf's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Quantified Stf mutual fund have on its future price. Quantified Stf 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, Quantified Stf autocorrelation shows the relationship between Quantified Stf mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Quantified Stf 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 Quantified Stf 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, Quantified Stf's short interest history, or implied volatility extrapolated from Quantified Stf options trading.
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Align your risk with return expectations
Check out Quantified Stf Correlation, Quantified Stf Volatility and Quantified Stf Alpha and Beta module to complement your research on Quantified Stf. Note that the Quantified Stf information on this page should be used as a complementary analysis to other Quantified Stf'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 Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
Quantified Stf 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.