Multisector Bond Sma Fund Market Value
| MBSAX Fund | USD 13.18 0.04 0.30% |
| Symbol | Multisector |
Multisector Bond '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 Multisector Bond'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 Multisector Bond.
| 04/23/2024 |
| 05/23/2024 |
If you would invest 0.00 in Multisector Bond on April 23, 2024 and sell it all today you would earn a total of 0.00 from holding Multisector Bond Sma or generate 0.0% return on investment in Multisector Bond over 30 days. Multisector Bond is related to or competes with HUMANA, Barloworld, High Yield, Morningstar Unconstrained, Thrivent High, and Via Renewables. Under normal circumstances, the fund has substantial exposure, at least 80 percent of its net assets, to fixed-incomedeb... More
Multisector Bond 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 Multisector Bond'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 Multisector Bond Sma upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5523 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 2.37 | |||
| Value At Risk | (0.62) | |||
| Potential Upside | 0.6255 |
Multisector Bond Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Multisector Bond's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Multisector Bond's standard deviation. In reality, there are many statistical measures that can use Multisector Bond historical prices to predict the future Multisector Bond's volatility.| Risk Adjusted Performance | 0.0385 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.045 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Multisector Bond'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.
Multisector Bond Sma Backtested Returns
We consider Multisector Bond very steady. Multisector Bond Sma has Sharpe Ratio of 0.072, which conveys that the entity had a 0.072% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Multisector Bond, which you can use to evaluate the volatility of the fund. Please verify Multisector Bond's Downside Deviation of 0.5523, mean deviation of 0.313, and Risk Adjusted Performance of 0.0385 to check out if the risk estimate we provide is consistent with the expected return of 0.0308%. The fund secures a Beta (Market Risk) of 0.47, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Multisector Bond's returns are expected to increase less than the market. However, during the bear market, the loss of holding Multisector Bond is expected to be smaller as well.
Auto-correlation | 0.38 |
Below average predictability
Multisector Bond Sma has below average predictability. Overlapping area represents the amount of predictability between Multisector Bond time series from 23rd of April 2024 to 8th of May 2024 and 8th of May 2024 to 23rd 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 Multisector Bond Sma price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Multisector Bond price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Multisector Bond Sma lagged returns against current returns
Autocorrelation, which is Multisector Bond 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 Multisector Bond's mutual fund expected returns. We can calculate the autocorrelation of Multisector Bond returns to help us make a trade decision. For example, suppose you find that Multisector Bond 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 |
Multisector Bond 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 Multisector Bond mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Multisector Bond mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Multisector Bond mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Multisector Bond Lagged Returns
When evaluating Multisector Bond's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Multisector Bond mutual fund have on its future price. Multisector Bond 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, Multisector Bond autocorrelation shows the relationship between Multisector Bond mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Multisector Bond Sma.
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 Multisector Bond Correlation, Multisector Bond Volatility and Multisector Bond Alpha and Beta module to complement your research on Multisector Bond. Note that the Multisector Bond Sma information on this page should be used as a complementary analysis to other Multisector Bond'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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Multisector Bond 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.