Coronation Balanced (South Africa) Market Value
| 0P0000JYZT | 161.77 0.30 0.19% |
| Symbol | Coronation |
Coronation Balanced '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 Coronation Balanced's 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 Coronation Balanced.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Coronation Balanced on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Coronation Balanced Plus or generate 0.0% return on investment in Coronation Balanced over 30 days.
Coronation Balanced 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 Coronation Balanced's 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 Coronation Balanced Plus upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3686 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 2.12 | |||
| Value At Risk | (0.59) | |||
| Potential Upside | 0.9121 |
Coronation Balanced Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Coronation Balanced's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Coronation Balanced's standard deviation. In reality, there are many statistical measures that can use Coronation Balanced historical prices to predict the future Coronation Balanced's volatility.| Risk Adjusted Performance | 0.1377 | |||
| Jensen Alpha | 0.0595 | |||
| Total Risk Alpha | 1.0E-4 | |||
| Sortino Ratio | (0.15) | |||
| Treynor Ratio | 0.7073 |
Coronation Balanced Plus Backtested Returns
Coronation Balanced is very steady at the moment. Coronation Balanced Plus secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the fund had a 0.18% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Coronation Balanced Plus, which you can use to evaluate the volatility of the entity. Please confirm Coronation Balanced's Risk Adjusted Performance of 0.1377, mean deviation of 0.3289, and Downside Deviation of 0.3686 to double-check if the risk estimate we provide is consistent with the expected return of 0.0801%. The fund shows a Beta (market volatility) of 0.1, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Coronation Balanced's returns are expected to increase less than the market. However, during the bear market, the loss of holding Coronation Balanced is expected to be smaller as well.
Auto-correlation | 0.89 |
Very good predictability
Coronation Balanced Plus has very good predictability. Overlapping area represents the amount of predictability between Coronation Balanced time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Coronation Balanced Plus price movement. The serial correlation of 0.89 indicates that approximately 89.0% of current Coronation Balanced price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.89 | |
| Spearman Rank Test | 0.82 | |
| Residual Average | 0.0 | |
| Price Variance | 1.17 |
Coronation Balanced Plus lagged returns against current returns
Autocorrelation, which is Coronation Balanced 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 Coronation Balanced's fund expected returns. We can calculate the autocorrelation of Coronation Balanced returns to help us make a trade decision. For example, suppose you find that Coronation Balanced has exhibited high autocorrelation historically, and you observe that the 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 |
Coronation Balanced 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 Coronation Balanced fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Coronation Balanced fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Coronation Balanced fund over time.
Current vs Lagged Prices |
| Timeline |
Coronation Balanced Lagged Returns
When evaluating Coronation Balanced's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Coronation Balanced fund have on its future price. Coronation Balanced 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, Coronation Balanced autocorrelation shows the relationship between Coronation Balanced fund current value and its past values and can show if there is a momentum factor associated with investing in Coronation Balanced Plus.
Regressed Prices |
| Timeline |
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