Western Asset Mortgage Fund Market Value
| XDMOX Fund | USD 12.09 0.02 0.17% |
| Symbol | Western |
Please note, there is a significant difference between Western Asset's value and its price as these two are different measures arrived at by different means. Investors typically determine if Western Asset is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, Western Asset's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
Western Asset '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 Western Asset'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 Western Asset.
| 01/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Western Asset on January 19, 2024 and sell it all today you would earn a total of 0.00 from holding Western Asset Mortgage or generate 0.0% return on investment in Western Asset over 90 days. Western Asset is related to or competes with Tekla Healthcare, Tekla Life, Flaherty, Cohen, Tekla Healthcare, Royce Value, and John Hancock. Western Asset is entity of United States More
Western Asset 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 Western Asset'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 Western Asset Mortgage upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | 0.2036 | |||
| Maximum Drawdown | 1.06 | |||
| Value At Risk | (0.49) | |||
| Potential Upside | 0.1649 |
Western Asset Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Western Asset's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Western Asset's standard deviation. In reality, there are many statistical measures that can use Western Asset historical prices to predict the future Western Asset's volatility.| Risk Adjusted Performance | (0.21) | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.03) | |||
| Treynor Ratio | 5.97 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Western Asset'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.
Western Asset Mortgage Backtested Returns
Western Asset Mortgage shows Sharpe Ratio of -0.32, which attests that the fund had a -0.32% return per unit of risk over the last month. Western Asset Mortgage exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Western Asset's Mean Deviation of 0.1666, market risk adjusted performance of 5.98, and Standard Deviation of 0.2485 to validate the risk estimate we provide. The entity maintains a market beta of -0.0135, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Western Asset are expected to decrease at a much lower rate. During the bear market, Western Asset is likely to outperform the market.
Auto-correlation | -0.17 |
Insignificant reverse predictability
Western Asset Mortgage has insignificant reverse predictability. Overlapping area represents the amount of predictability between Western Asset time series from 19th of January 2024 to 4th of March 2024 and 4th of March 2024 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 Western Asset Mortgage price movement. The serial correlation of -0.17 indicates that over 17.0% of current Western Asset price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.17 | |
| Spearman Rank Test | -0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Western Asset Mortgage lagged returns against current returns
Autocorrelation, which is Western Asset 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 Western Asset's mutual fund expected returns. We can calculate the autocorrelation of Western Asset returns to help us make a trade decision. For example, suppose you find that Western Asset 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 |
Western Asset 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 Western Asset mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Western Asset mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Western Asset mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Western Asset Lagged Returns
When evaluating Western Asset's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Western Asset mutual fund have on its future price. Western Asset 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, Western Asset autocorrelation shows the relationship between Western Asset mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Western Asset Mortgage.
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 Western Asset 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, Western Asset's short interest history, or implied volatility extrapolated from Western Asset options trading.
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Western Asset Correlation, Western Asset Volatility and Western Asset Alpha and Beta module to complement your research on Western Asset. You can also try the Headlines Timeline module to stay connected to all market stories and filter out noise. Drill down to analyze hype elasticity.
Western Asset 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.