Us Defensive Equity Fund Market Value
REQAX Fund | USD 46.97 0.41 0.88% |
Symbol | REQAX |
Us Defensive '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 Us Defensive'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 Us Defensive.
02/27/2024 |
| 03/28/2024 |
If you would invest 0.00 in Us Defensive on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding Us Defensive Equity or generate 0.0% return on investment in Us Defensive over 30 days. Us Defensive is related to or competes with State Farm, Equity Growth, Equity Growth, Equity Growth, Equity Growth, Emerging Markets, and Emerging Markets. The fund has a non-fundamental policy to invest, under normal circumstances, at least 80 percent of the value of its net... More
Us Defensive 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 Us Defensive'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 Us Defensive Equity upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.5663 | |||
Information Ratio | 1.0E-4 | |||
Maximum Drawdown | 2.67 | |||
Value At Risk | (0.84) | |||
Potential Upside | 1.05 |
Us Defensive Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Us Defensive's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Us Defensive's standard deviation. In reality, there are many statistical measures that can use Us Defensive historical prices to predict the future Us Defensive's volatility.Risk Adjusted Performance | 0.1278 | |||
Jensen Alpha | 0.1303 | |||
Total Risk Alpha | (0.01) | |||
Sortino Ratio | 1.0E-4 | |||
Treynor Ratio | (2.57) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Us Defensive'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.
Us Defensive Equity Backtested Returns
We consider Us Defensive very steady. Us Defensive Equity retains Efficiency (Sharpe Ratio) of 0.22, which indicates the fund had a 0.22% return per unit of price deviation over the last 3 months. We have found twenty-eight technical indicators for Us Defensive, which you can use to evaluate the volatility of the fund. Please validate Us Defensive's Downside Deviation of 0.5663, risk adjusted performance of 0.1278, and Mean Deviation of 0.4506 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The entity owns a Beta (Systematic Risk) of -0.0484, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Us Defensive are expected to decrease at a much lower rate. During the bear market, Us Defensive is likely to outperform the market.
Auto-correlation | 0.32 |
Below average predictability
Us Defensive Equity has below average predictability. Overlapping area represents the amount of predictability between Us Defensive time series from 27th of February 2024 to 13th of March 2024 and 13th of March 2024 to 28th of March 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 Us Defensive Equity price movement. The serial correlation of 0.32 indicates that nearly 32.0% of current Us Defensive price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.32 | |
Spearman Rank Test | 0.64 | |
Residual Average | 0.0 | |
Price Variance | 0.1 |
Us Defensive Equity lagged returns against current returns
Autocorrelation, which is Us Defensive 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 Us Defensive's mutual fund expected returns. We can calculate the autocorrelation of Us Defensive returns to help us make a trade decision. For example, suppose you find that Us Defensive 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 |
Us Defensive 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 Us Defensive mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Us Defensive mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Us Defensive mutual fund over time.
Current vs Lagged Prices |
Timeline |
Us Defensive Lagged Returns
When evaluating Us Defensive's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Us Defensive mutual fund have on its future price. Us Defensive 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, Us Defensive autocorrelation shows the relationship between Us Defensive mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Us Defensive Equity.
Regressed Prices |
Timeline |
Currently Active Assets on Macroaxis
Check out Us Defensive Correlation, Us Defensive Volatility and Us Defensive Alpha and Beta module to complement your research on Us Defensive. Note that the Us Defensive Equity information on this page should be used as a complementary analysis to other Us Defensive'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.
Complementary Tools for REQAX Mutual Fund analysis
When running Us Defensive's price analysis, check to measure Us Defensive's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Us Defensive is operating at the current time. Most of Us Defensive's value examination focuses on studying past and present price action to predict the probability of Us Defensive's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Us Defensive's price. Additionally, you may evaluate how the addition of Us Defensive to your portfolios can decrease your overall portfolio volatility.
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Us Defensive 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.