The Sector Rotation Fund Market Value
| NAVFX Fund | USD 14.83 0.08 0.54% |
| Symbol | Sector |
Sector Rotation '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 Sector Rotation'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 Sector Rotation.
| 04/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in Sector Rotation on April 24, 2023 and sell it all today you would earn a total of 0.00 from holding The Sector Rotation or generate 0.0% return on investment in Sector Rotation over 360 days. Sector Rotation is related to or competes with American Funds. Under normal circumstances, the fund invests in shares of exchange-traded funds More
Sector Rotation 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 Sector Rotation'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 The Sector Rotation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.804 | |||
| Information Ratio | 0.0271 | |||
| Maximum Drawdown | 3.45 | |||
| Value At Risk | (1.19) | |||
| Potential Upside | 1.42 |
Sector Rotation Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sector Rotation's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sector Rotation's standard deviation. In reality, there are many statistical measures that can use Sector Rotation historical prices to predict the future Sector Rotation's volatility.| Risk Adjusted Performance | 0.0621 | |||
| Jensen Alpha | 0.0177 | |||
| Total Risk Alpha | 0.0086 | |||
| Sortino Ratio | 0.0276 | |||
| Treynor Ratio | 0.0616 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sector Rotation'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.
Sector Rotation Backtested Returns
We consider Sector Rotation very steady. Sector Rotation owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0735, which indicates the fund had a 0.0735% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for The Sector Rotation, which you can use to evaluate the volatility of the fund. Please validate Sector Rotation's Coefficient Of Variation of 1054.19, risk adjusted performance of 0.0621, and Semi Deviation of 0.6887 to confirm if the risk estimate we provide is consistent with the expected return of 0.0587%. The entity has a beta of 1.1, which indicates a somewhat significant risk relative to the market. Sector Rotation returns are very sensitive to returns on the market. As the market goes up or down, Sector Rotation is expected to follow.
Auto-correlation | 0.64 |
Good predictability
The Sector Rotation has good predictability. Overlapping area represents the amount of predictability between Sector Rotation time series from 24th of April 2023 to 21st of October 2023 and 21st of October 2023 to 18th 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 Sector Rotation price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Sector Rotation price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.87 |
Sector Rotation lagged returns against current returns
Autocorrelation, which is Sector Rotation 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 Sector Rotation's mutual fund expected returns. We can calculate the autocorrelation of Sector Rotation returns to help us make a trade decision. For example, suppose you find that Sector Rotation 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 |
Sector Rotation 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 Sector Rotation mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sector Rotation mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sector Rotation mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Sector Rotation Lagged Returns
When evaluating Sector Rotation's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sector Rotation mutual fund have on its future price. Sector Rotation 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, Sector Rotation autocorrelation shows the relationship between Sector Rotation mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Sector Rotation.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Sector Rotation Correlation, Sector Rotation Volatility and Sector Rotation Alpha and Beta module to complement your research on Sector Rotation. Note that the Sector Rotation information on this page should be used as a complementary analysis to other Sector Rotation'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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Sector Rotation 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.