Aylett Balanced (South Africa) Market Value
| 0P00012ASW | 2.25 0.01 0.45% |
| Symbol | Aylett |
Aylett 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 Aylett 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 Aylett Balanced.
| 06/12/2023 |
| 12/03/2024 |
If you would invest 0.00 in Aylett Balanced on June 12, 2023 and sell it all today you would earn a total of 0.00 from holding Aylett Balanced Prescient or generate 0.0% return on investment in Aylett Balanced over 540 days.
Aylett 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 Aylett 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 Aylett Balanced Prescient upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5627 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 2.31 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.4739 |
Aylett Balanced Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aylett Balanced's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aylett Balanced's standard deviation. In reality, there are many statistical measures that can use Aylett Balanced historical prices to predict the future Aylett Balanced's volatility.| Risk Adjusted Performance | 0.1164 | |||
| Jensen Alpha | 0.0453 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.1) | |||
| Treynor Ratio | 0.4706 |
Aylett Balanced Prescient Backtested Returns
At this point, Aylett Balanced is not too volatile. Aylett Balanced Prescient secures Sharpe Ratio (or Efficiency) of 0.2, which signifies that the fund had a 0.2% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Aylett Balanced Prescient, which you can use to evaluate the volatility of the entity. Please confirm Aylett Balanced's Risk Adjusted Performance of 0.1164, downside deviation of 0.5627, and Mean Deviation of 0.3281 to double-check if the risk estimate we provide is consistent with the expected return of 0.0852%. The fund shows a Beta (market volatility) of 0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Aylett Balanced's returns are expected to increase less than the market. However, during the bear market, the loss of holding Aylett Balanced is expected to be smaller as well.
Auto-correlation | 0.73 |
Good predictability
Aylett Balanced Prescient has good predictability. Overlapping area represents the amount of predictability between Aylett Balanced time series from 12th of June 2023 to 8th of March 2024 and 8th of March 2024 to 3rd 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 Aylett Balanced Prescient price movement. The serial correlation of 0.73 indicates that around 73.0% of current Aylett Balanced price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.76 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Aylett Balanced Prescient lagged returns against current returns
Autocorrelation, which is Aylett 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 Aylett Balanced's fund expected returns. We can calculate the autocorrelation of Aylett Balanced returns to help us make a trade decision. For example, suppose you find that Aylett 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 |
Aylett 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 Aylett Balanced fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aylett Balanced fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aylett Balanced fund over time.
Current vs Lagged Prices |
| Timeline |
Aylett Balanced Lagged Returns
When evaluating Aylett Balanced's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aylett Balanced fund have on its future price. Aylett 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, Aylett Balanced autocorrelation shows the relationship between Aylett Balanced fund current value and its past values and can show if there is a momentum factor associated with investing in Aylett Balanced Prescient.
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.| Money Flow Index Determine momentum by analyzing Money Flow Index and other technical indicators | |
| Performance Analysis Check effects of mean-variance optimization against your current asset allocation | |
| Stocks Directory Find actively traded stocks across global markets | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account |