Federated Kaufmann Fund Market Value
| KAUCX Fund | USD 4.61 0.01 0.22% |
| Symbol | Federated |
Federated Kaufmann '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 Federated Kaufmann'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 Federated Kaufmann.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Federated Kaufmann on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Federated Kaufmann Fund or generate 0.0% return on investment in Federated Kaufmann over 210 days. Federated Kaufmann is related to or competes with Arrow Managed, Aqr Managed, Blackrock Inflation, Ab Bond, Ab Bond, Goldman Sachs, and Ab Bond. The fund invests a majority of its assets in the common stocks of small- and medium-sized companies that are traded on n... More
Federated Kaufmann 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 Federated Kaufmann'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 Federated Kaufmann Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.11 | |||
| Information Ratio | 0.0281 | |||
| Maximum Drawdown | 4.58 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 1.59 |
Federated Kaufmann Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Federated Kaufmann's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Federated Kaufmann's standard deviation. In reality, there are many statistical measures that can use Federated Kaufmann historical prices to predict the future Federated Kaufmann's volatility.| Risk Adjusted Performance | 0.1367 | |||
| Jensen Alpha | 0.0347 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | 0.0236 | |||
| Treynor Ratio | 0.1648 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Federated Kaufmann'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.
Federated Kaufmann Backtested Returns
Federated Kaufmann appears to be not too volatile, given 3 months investment horizon. Federated Kaufmann secures Sharpe Ratio (or Efficiency) of 0.23, which denotes the fund had a 0.23% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Federated Kaufmann Fund, which you can use to evaluate the volatility of the entity. Please utilize Federated Kaufmann's Downside Deviation of 1.11, mean deviation of 0.6801, and Coefficient Of Variation of 566.63 to check if our risk estimates are consistent with your expectations. The fund shows a Beta (market volatility) of 0.93, which means possible diversification benefits within a given portfolio. Federated Kaufmann returns are very sensitive to returns on the market. As the market goes up or down, Federated Kaufmann is expected to follow.
Auto-correlation | 0.31 |
Below average predictability
Federated Kaufmann Fund has below average predictability. Overlapping area represents the amount of predictability between Federated Kaufmann time series from 6th of May 2024 to 19th of August 2024 and 19th of August 2024 to 2nd of December 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 Federated Kaufmann price movement. The serial correlation of 0.31 indicates that nearly 31.0% of current Federated Kaufmann price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.31 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Federated Kaufmann lagged returns against current returns
Autocorrelation, which is Federated Kaufmann 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 Federated Kaufmann's mutual fund expected returns. We can calculate the autocorrelation of Federated Kaufmann returns to help us make a trade decision. For example, suppose you find that Federated Kaufmann 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 |
Federated Kaufmann 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 Federated Kaufmann mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Federated Kaufmann mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Federated Kaufmann mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Federated Kaufmann Lagged Returns
When evaluating Federated Kaufmann's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Federated Kaufmann mutual fund have on its future price. Federated Kaufmann 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, Federated Kaufmann autocorrelation shows the relationship between Federated Kaufmann mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Federated Kaufmann 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.Other Information on Investing in Federated Mutual Fund
Federated Kaufmann financial ratios help investors to determine whether Federated Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Federated with respect to the benefits of owning Federated Kaufmann security.
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