Artisan Value Income Fund Market Value
| APDWX Fund | USD 10.91 0.06 0.55% |
| Symbol | Artisan |
Artisan Value '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 Artisan Value'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 Artisan Value.
| 10/27/2024 |
| 11/26/2024 |
If you would invest 0.00 in Artisan Value on October 27, 2024 and sell it all today you would earn a total of 0.00 from holding Artisan Value Income or generate 0.0% return on investment in Artisan Value over 30 days. Artisan Value is related to or competes with Artisan Developing, Artisan Thematic, Artisan Small, Artisan Floating, Artisan Global, Artisan Emerging, and Artisan Global. The funds investment team employs a fundamental investment process to construct a diversified portfolio of equity securi... More
Artisan Value 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 Artisan Value'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 Artisan Value Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5224 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 2.45 | |||
| Value At Risk | (0.76) | |||
| Potential Upside | 0.8604 |
Artisan Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Artisan Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Artisan Value's standard deviation. In reality, there are many statistical measures that can use Artisan Value historical prices to predict the future Artisan Value's volatility.| Risk Adjusted Performance | 0.1064 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.1162 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Artisan Value'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.
Artisan Value Income Backtested Returns
At this stage we consider Artisan Mutual Fund to be very steady. Artisan Value Income secures Sharpe Ratio (or Efficiency) of 0.11, which signifies that the fund had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Artisan Value Income, which you can use to evaluate the volatility of the entity. Please confirm Artisan Value's Mean Deviation of 0.4582, risk adjusted performance of 0.1064, and Downside Deviation of 0.5224 to double-check if the risk estimate we provide is consistent with the expected return of 0.0609%. The fund shows a Beta (market volatility) of 0.61, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Artisan Value's returns are expected to increase less than the market. However, during the bear market, the loss of holding Artisan Value is expected to be smaller as well.
Auto-correlation | 0.58 |
Modest predictability
Artisan Value Income has modest predictability. Overlapping area represents the amount of predictability between Artisan Value time series from 27th of October 2024 to 11th of November 2024 and 11th of November 2024 to 26th of November 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 Artisan Value Income price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Artisan Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.43 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Artisan Value Income lagged returns against current returns
Autocorrelation, which is Artisan Value 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 Artisan Value's mutual fund expected returns. We can calculate the autocorrelation of Artisan Value returns to help us make a trade decision. For example, suppose you find that Artisan Value 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 |
Artisan Value 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 Artisan Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Artisan Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Artisan Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Artisan Value Lagged Returns
When evaluating Artisan Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Artisan Value mutual fund have on its future price. Artisan Value 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, Artisan Value autocorrelation shows the relationship between Artisan Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Artisan Value Income.
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 Artisan Mutual Fund
Artisan Value financial ratios help investors to determine whether Artisan 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 Artisan with respect to the benefits of owning Artisan Value security.
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios | |
| Portfolio Backtesting Avoid under-diversification and over-optimization by backtesting your portfolios | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments |