Amg Managers Brandywine Fund Market Value
| BRWIX Fund | USD 40.86 0.04 0.1% |
| Symbol | AMG |
Amg Managers '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 Amg Managers' 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 Amg Managers.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Amg Managers on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Amg Managers Brandywine or generate 0.0% return on investment in Amg Managers over 30 days. Amg Managers is related to or competes with Touchstone Large, Pace Large, Fundamental Large, Americafirst Large, Aqr Large, and Qs Us. The Subadviser seeks to preserve and build capital over the long term through investing in a diversified portfolio of gl... More
Amg Managers 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 Amg Managers' 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 Amg Managers Brandywine upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8339 | |||
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 3.73 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 1.0 |
Amg Managers Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amg Managers' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amg Managers' standard deviation. In reality, there are many statistical measures that can use Amg Managers historical prices to predict the future Amg Managers' volatility.| Risk Adjusted Performance | 0.0063 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.14) | |||
| Treynor Ratio | (0.01) |
Amg Managers Brandywine Backtested Returns
At this stage we consider AMG Mutual Fund to be very steady. Amg Managers Brandywine secures Sharpe Ratio (or Efficiency) of 0.0078, which signifies that the fund had a 0.0078% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Amg Managers Brandywine, which you can use to evaluate the volatility of the entity. Please confirm Amg Managers' risk adjusted performance of 0.0063, and Mean Deviation of 0.603 to double-check if the risk estimate we provide is consistent with the expected return of 0.0062%. The fund shows a Beta (market volatility) of 0.65, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Amg Managers' returns are expected to increase less than the market. However, during the bear market, the loss of holding Amg Managers is expected to be smaller as well.
Auto-correlation | 0.63 |
Good predictability
Amg Managers Brandywine has good predictability. Overlapping area represents the amount of predictability between Amg Managers time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 to 28th 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 Amg Managers Brandywine price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Amg Managers price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Amg Managers Brandywine lagged returns against current returns
Autocorrelation, which is Amg Managers 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 Amg Managers' mutual fund expected returns. We can calculate the autocorrelation of Amg Managers returns to help us make a trade decision. For example, suppose you find that Amg Managers 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 |
Amg Managers 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 Amg Managers mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amg Managers mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amg Managers mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Amg Managers Lagged Returns
When evaluating Amg Managers' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amg Managers mutual fund have on its future price. Amg Managers 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, Amg Managers autocorrelation shows the relationship between Amg Managers mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Amg Managers Brandywine.
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 AMG Mutual Fund
Amg Managers financial ratios help investors to determine whether AMG 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 AMG with respect to the benefits of owning Amg Managers security.
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