Bright Rock Quality Fund Market Value
| BQLCX Fund | USD 22.31 0.22 1.00% |
| Symbol | Bright |
Bright Rock '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 Bright Rock'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 Bright Rock.
| 10/27/2023 |
| 04/24/2024 |
If you would invest 0.00 in Bright Rock on October 27, 2023 and sell it all today you would earn a total of 0.00 from holding Bright Rock Quality or generate 0.0% return on investment in Bright Rock over 180 days. Bright Rock is related to or competes with Morningstar Unconstrained, and SPACE. The fund invests at least 80 percent of its net assets in equity securities of companies with large-sized market capital... More
Bright Rock 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 Bright Rock'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 Bright Rock Quality upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7026 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 2.61 | |||
| Value At Risk | (1.09) | |||
| Potential Upside | 0.9959 |
Bright Rock Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Bright Rock's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Bright Rock's standard deviation. In reality, there are many statistical measures that can use Bright Rock historical prices to predict the future Bright Rock's volatility.| Risk Adjusted Performance | 0.0781 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0779 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Bright Rock'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.
Bright Rock Quality Backtested Returns
We consider Bright Rock very steady. Bright Rock Quality secures Sharpe Ratio (or Efficiency) of 0.1, which signifies that the fund had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Bright Rock Quality, which you can use to evaluate the volatility of the entity. Please confirm Bright Rock's Downside Deviation of 0.7026, mean deviation of 0.4791, and Risk Adjusted Performance of 0.0781 to double-check if the risk estimate we provide is consistent with the expected return of 0.0651%. The fund shows a Beta (market volatility) of 0.86, which signifies possible diversification benefits within a given portfolio. Bright Rock returns are very sensitive to returns on the market. As the market goes up or down, Bright Rock is expected to follow.
Auto-correlation | 0.67 |
Good predictability
Bright Rock Quality has good predictability. Overlapping area represents the amount of predictability between Bright Rock time series from 27th of October 2023 to 25th of January 2024 and 25th of January 2024 to 24th 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 Bright Rock Quality price movement. The serial correlation of 0.67 indicates that around 67.0% of current Bright Rock price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Bright Rock Quality lagged returns against current returns
Autocorrelation, which is Bright Rock 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 Bright Rock's mutual fund expected returns. We can calculate the autocorrelation of Bright Rock returns to help us make a trade decision. For example, suppose you find that Bright Rock 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 |
Bright Rock 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 Bright Rock mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Bright Rock mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Bright Rock mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Bright Rock Lagged Returns
When evaluating Bright Rock's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Bright Rock mutual fund have on its future price. Bright Rock 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, Bright Rock autocorrelation shows the relationship between Bright Rock mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Bright Rock Quality.
Regressed Prices |
| Timeline |
Pair Trading with Bright Rock
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Bright Rock position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Bright Rock will appreciate offsetting losses from the drop in the long position's value.Moving together with Bright Mutual Fund
| 0.92 | BQMGX | Bright Rock Mid | PairCorr |
| 0.96 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.96 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.96 | VTSMX | Vanguard Total Stock | PairCorr |
The ability to find closely correlated positions to Bright Rock could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Bright Rock when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Bright Rock - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Bright Rock Quality to buy it.
The correlation of Bright Rock is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Bright Rock moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Bright Rock Quality moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Bright Rock can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Bright Rock Correlation, Bright Rock Volatility and Bright Rock Alpha and Beta module to complement your research on Bright Rock. Note that the Bright Rock Quality information on this page should be used as a complementary analysis to other Bright Rock'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 Share Portfolio module to track or share privately all of your investments from the convenience of any device.
Bright Rock 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.