Allianzgi Nfj Mid Cap Fund Market Value
| ANRPX Fund | USD 16.36 0.08 0.49% |
| Symbol | Allianzgi |
Allianzgi Nfj '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 Allianzgi Nfj'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 Allianzgi Nfj.
| 04/07/2024 |
| 05/07/2024 |
If you would invest 0.00 in Allianzgi Nfj on April 7, 2024 and sell it all today you would earn a total of 0.00 from holding Allianzgi Nfj Mid Cap or generate 0.0% return on investment in Allianzgi Nfj over 30 days. Allianzgi Nfj is related to or competes with Smallcap Growth, Vy Jpmorgan, Lebenthal Lisanti, Old Westbury, Touchstone Small, and Siit Small. The fund seeks to achieve its investment objective by normally investing at least 80 percent of its net assets in common... More
Allianzgi Nfj 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 Allianzgi Nfj'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 Allianzgi Nfj Mid Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 5.07 | |||
| Value At Risk | (1.42) | |||
| Potential Upside | 1.25 |
Allianzgi Nfj Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allianzgi Nfj's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allianzgi Nfj's standard deviation. In reality, there are many statistical measures that can use Allianzgi Nfj historical prices to predict the future Allianzgi Nfj's volatility.| Risk Adjusted Performance | 0.0509 | |||
| Jensen Alpha | 0.0401 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.2006 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Allianzgi Nfj'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.
Allianzgi Nfj Mid Backtested Returns
We consider Allianzgi Nfj very steady. Allianzgi Nfj Mid secures Sharpe Ratio (or Efficiency) of 0.0765, which signifies that the fund had a 0.0765% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Allianzgi Nfj Mid Cap, which you can use to evaluate the volatility of the entity. Please confirm Allianzgi Nfj's Risk Adjusted Performance of 0.0509, downside deviation of 1.22, and Mean Deviation of 0.6509 to double-check if the risk estimate we provide is consistent with the expected return of 0.0695%. The fund shows a Beta (market volatility) of 0.3, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Allianzgi Nfj's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allianzgi Nfj is expected to be smaller as well.
Auto-correlation | -0.09 |
Very weak reverse predictability
Allianzgi Nfj Mid Cap has very weak reverse predictability. Overlapping area represents the amount of predictability between Allianzgi Nfj time series from 7th of April 2024 to 22nd of April 2024 and 22nd of April 2024 to 7th of May 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 Allianzgi Nfj Mid price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Allianzgi Nfj price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.09 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Allianzgi Nfj Mid lagged returns against current returns
Autocorrelation, which is Allianzgi Nfj 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 Allianzgi Nfj's mutual fund expected returns. We can calculate the autocorrelation of Allianzgi Nfj returns to help us make a trade decision. For example, suppose you find that Allianzgi Nfj 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 |
Allianzgi Nfj 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 Allianzgi Nfj mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allianzgi Nfj mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allianzgi Nfj mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Allianzgi Nfj Lagged Returns
When evaluating Allianzgi Nfj's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allianzgi Nfj mutual fund have on its future price. Allianzgi Nfj 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, Allianzgi Nfj autocorrelation shows the relationship between Allianzgi Nfj mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Allianzgi Nfj Mid Cap.
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 Allianzgi Nfj 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, Allianzgi Nfj's short interest history, or implied volatility extrapolated from Allianzgi Nfj options trading.
Pair Trading with Allianzgi Nfj
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 Allianzgi Nfj 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 Allianzgi Nfj will appreciate offsetting losses from the drop in the long position's value.Moving together with Allianzgi Mutual Fund
| 0.86 | FLPKX | Fidelity Low Priced | PairCorr |
| 0.86 | FLPSX | Fidelity Low Priced | PairCorr |
| 0.74 | VMVAX | Vanguard Mid Cap | PairCorr |
| 0.95 | JVMAX | John Hancock Disciplined | PairCorr |
| 0.95 | JVMIX | John Hancock Disciplined | PairCorr |
The ability to find closely correlated positions to Allianzgi Nfj could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Allianzgi Nfj 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 Allianzgi Nfj - 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 Allianzgi Nfj Mid Cap to buy it.
The correlation of Allianzgi Nfj 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 Allianzgi Nfj moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Allianzgi Nfj Mid 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 Allianzgi Nfj 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 Allianzgi Nfj Correlation, Allianzgi Nfj Volatility and Allianzgi Nfj Alpha and Beta module to complement your research on Allianzgi Nfj. You can also try the Price Transformation module to use Price Transformation models to analyze the depth of different equity instruments across global markets.
Allianzgi Nfj 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.