Ginnie Mae Fund Market Value
| BGNCX Fund | USD 8.78 0.03 0.34% |
| Symbol | Ginnie |
Ginnie Mae '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 Ginnie Mae'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 Ginnie Mae.
| 04/21/2024 |
| 05/21/2024 |
If you would invest 0.00 in Ginnie Mae on April 21, 2024 and sell it all today you would earn a total of 0.00 from holding Ginnie Mae Fund or generate 0.0% return on investment in Ginnie Mae over 30 days. Ginnie Mae is related to or competes with Vanguard Intermediate-ter, Vanguard Gnma, and Fidelity Sai. Under normal market conditions, the fund invests at least 80 percent of its net assets in securities issued by the Gover... More
Ginnie Mae 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 Ginnie Mae'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 Ginnie Mae Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4986 | |||
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 1.94 | |||
| Value At Risk | (0.68) | |||
| Potential Upside | 0.5821 |
Ginnie Mae Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ginnie Mae's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ginnie Mae's standard deviation. In reality, there are many statistical measures that can use Ginnie Mae historical prices to predict the future Ginnie Mae's volatility.| Risk Adjusted Performance | 0.0023 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.15) | |||
| Treynor Ratio | (0.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ginnie Mae'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.
Ginnie Mae Fund Backtested Returns
We consider Ginnie Mae very steady. Ginnie Mae Fund holds Efficiency (Sharpe) Ratio of 0.0324, which attests that the entity had a 0.0324% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Ginnie Mae Fund, which you can use to evaluate the volatility of the entity. Please check out Ginnie Mae's Risk Adjusted Performance of 0.0023, downside deviation of 0.4986, and Market Risk Adjusted Performance of (0.04) to validate if the risk estimate we provide is consistent with the expected return of 0.0136%. The fund retains a Market Volatility (i.e., Beta) of 0.12, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Ginnie Mae's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ginnie Mae is expected to be smaller as well.
Auto-correlation | 0.35 |
Below average predictability
Ginnie Mae Fund has below average predictability. Overlapping area represents the amount of predictability between Ginnie Mae time series from 21st of April 2024 to 6th of May 2024 and 6th of May 2024 to 21st 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 Ginnie Mae Fund price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Ginnie Mae price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | 0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Ginnie Mae Fund lagged returns against current returns
Autocorrelation, which is Ginnie Mae 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 Ginnie Mae's mutual fund expected returns. We can calculate the autocorrelation of Ginnie Mae returns to help us make a trade decision. For example, suppose you find that Ginnie Mae 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 |
Ginnie Mae 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 Ginnie Mae mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ginnie Mae mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ginnie Mae mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ginnie Mae Lagged Returns
When evaluating Ginnie Mae's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ginnie Mae mutual fund have on its future price. Ginnie Mae 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, Ginnie Mae autocorrelation shows the relationship between Ginnie Mae mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ginnie Mae Fund.
Regressed Prices |
| Timeline |
Also Currently Popular
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 Ginnie Mae Correlation, Ginnie Mae Volatility and Ginnie Mae Alpha and Beta module to complement your research on Ginnie Mae. Note that the Ginnie Mae Fund information on this page should be used as a complementary analysis to other Ginnie Mae'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 Commodity Directory module to find actively traded commodities issued by global exchanges.
Ginnie Mae 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.