Moderate Balanced Allocation Fund Market Value
| SMPAX Fund | USD 11.24 0.07 0.63% |
| Symbol | Moderate |
Moderate Balanced '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 Moderate Balanced'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 Moderate Balanced.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Moderate Balanced on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding Moderate Balanced Allocation or generate 0.0% return on investment in Moderate Balanced over 270 days. Moderate Balanced is related to or competes with Salient Alternative, Salient Alternative, Small Capitalization, Small Capitalization, Health Biotchnology, and Energy Basic. The Portfolios main investment strategy is to invest in other Saratoga Advantage Trust mutual funds andor unaffiliated r... More
Moderate Balanced 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 Moderate Balanced'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 Moderate Balanced Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.548 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 2.19 | |||
| Value At Risk | (0.88) | |||
| Potential Upside | 0.7306 |
Moderate Balanced Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Moderate Balanced's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Moderate Balanced's standard deviation. In reality, there are many statistical measures that can use Moderate Balanced historical prices to predict the future Moderate Balanced's volatility.| Risk Adjusted Performance | 0.0447 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.039 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Moderate Balanced'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.
Moderate Balanced Backtested Returns
We consider Moderate Balanced very steady. Moderate Balanced has Sharpe Ratio of 0.051, which conveys that the entity had a 0.051% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Moderate Balanced, which you can use to evaluate the volatility of the fund. Please verify Moderate Balanced's Risk Adjusted Performance of 0.0447, mean deviation of 0.3961, and Downside Deviation of 0.548 to check out if the risk estimate we provide is consistent with the expected return of 0.0258%. The fund secures a Beta (Market Risk) of 0.73, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Moderate Balanced's returns are expected to increase less than the market. However, during the bear market, the loss of holding Moderate Balanced is expected to be smaller as well.
Auto-correlation | -0.43 |
Modest reverse predictability
Moderate Balanced Allocation has modest reverse predictability. Overlapping area represents the amount of predictability between Moderate Balanced time series from 28th of July 2023 to 10th of December 2023 and 10th of December 2023 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 Moderate Balanced price movement. The serial correlation of -0.43 indicates that just about 43.0% of current Moderate Balanced price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.43 | |
| Spearman Rank Test | -0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Moderate Balanced lagged returns against current returns
Autocorrelation, which is Moderate Balanced 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 Moderate Balanced's mutual fund expected returns. We can calculate the autocorrelation of Moderate Balanced returns to help us make a trade decision. For example, suppose you find that Moderate Balanced 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 |
Moderate Balanced 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 Moderate Balanced mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Moderate Balanced mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Moderate Balanced mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Moderate Balanced Lagged Returns
When evaluating Moderate Balanced's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Moderate Balanced mutual fund have on its future price. Moderate Balanced 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, Moderate Balanced autocorrelation shows the relationship between Moderate Balanced mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Moderate Balanced Allocation.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Moderate Balanced Correlation, Moderate Balanced Volatility and Moderate Balanced Alpha and Beta module to complement your research on Moderate Balanced. Note that the Moderate Balanced information on this page should be used as a complementary analysis to other Moderate Balanced'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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
Moderate Balanced 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.