Saat Defensive Strategy Fund Market Value
| SEDIX Fund | USD 9.24 0.01 0.11% |
| Symbol | Saat |
Saat 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 Saat 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 Saat Defensive.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Saat Defensive on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Saat Defensive Strategy or generate 0.0% return on investment in Saat Defensive over 30 days. Saat Defensive is related to or competes with Simt Multi-asset, Saat Market, Simt Real, Simt Small, Siit Screened, Saat Aggressive, and Saat Aggressive. The fund predominantly invests in other SEI Funds, each of which has its own investment goal More
Saat 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 Saat 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 Saat Defensive Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2683 | |||
| Information Ratio | (0.42) | |||
| Maximum Drawdown | 1.29 | |||
| Value At Risk | (0.22) | |||
| Potential Upside | 0.2179 |
Saat Defensive Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Saat Defensive's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Saat Defensive's standard deviation. In reality, there are many statistical measures that can use Saat Defensive historical prices to predict the future Saat Defensive's volatility.| Risk Adjusted Performance | 0.0214 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.28) | |||
| Treynor Ratio | 0.024 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Saat 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.
Saat Defensive Strategy Backtested Returns
We consider Saat Defensive very steady. Saat Defensive Strategy owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.067, which indicates the fund had a 0.067% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Saat Defensive Strategy, which you can use to evaluate the volatility of the fund. Please validate Saat Defensive's Risk Adjusted Performance of 0.0214, coefficient of variation of 1351.01, and Semi Deviation of 0.1126 to confirm if the risk estimate we provide is consistent with the expected return of 0.0124%. The entity has a beta of 0.14, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Saat Defensive's returns are expected to increase less than the market. However, during the bear market, the loss of holding Saat Defensive is expected to be smaller as well.
Auto-correlation | -0.25 |
Weak reverse predictability
Saat Defensive Strategy has weak reverse predictability. Overlapping area represents the amount of predictability between Saat Defensive time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd 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 Saat Defensive Strategy price movement. The serial correlation of -0.25 indicates that over 25.0% of current Saat Defensive price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.25 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Saat Defensive Strategy lagged returns against current returns
Autocorrelation, which is Saat 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 Saat Defensive's mutual fund expected returns. We can calculate the autocorrelation of Saat Defensive returns to help us make a trade decision. For example, suppose you find that Saat 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 |
Saat 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 Saat Defensive mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Saat 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 Saat Defensive mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Saat Defensive Lagged Returns
When evaluating Saat Defensive's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Saat Defensive mutual fund have on its future price. Saat 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, Saat Defensive autocorrelation shows the relationship between Saat Defensive mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Saat Defensive Strategy.
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 Saat Defensive 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, Saat Defensive's short interest history, or implied volatility extrapolated from Saat Defensive options trading.
Currently Active Assets on Macroaxis
Check out Saat Defensive Correlation, Saat Defensive Volatility and Saat Defensive Alpha and Beta module to complement your research on Saat Defensive. You can also try the Options Analysis module to analyze and evaluate options and option chains as a potential hedge for your portfolios.
Saat 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.