Cognios Market Neutral Fund Market Value
| COGMX Fund | USD 12.67 0.01 0.08% |
| Symbol | Cognios |
Cognios Market '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 Cognios Market'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 Cognios Market.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Cognios Market on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Cognios Market Neutral or generate 0.0% return on investment in Cognios Market over 30 days. Cognios Market is related to or competes with Aqr Long-short, Aqr Equity, Cognios Market, Aqr Managed, and Aqr Long-short. The fund seeks to achieve its investment objective by balancing long and short positions More
Cognios Market 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 Cognios Market'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 Cognios Market Neutral upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.45) | |||
| Maximum Drawdown | 2.37 | |||
| Value At Risk | (0.83) | |||
| Potential Upside | 0.6038 |
Cognios Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cognios Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cognios Market's standard deviation. In reality, there are many statistical measures that can use Cognios Market historical prices to predict the future Cognios Market's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.13) | |||
| Treynor Ratio | (2.50) |
Cognios Market Neutral Backtested Returns
Cognios Market Neutral secures Sharpe Ratio (or Efficiency) of -0.21, which signifies that the fund had a -0.21% return per unit of risk over the last 3 months. Cognios Market Neutral exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Cognios Market's Standard Deviation of 0.4112, mean deviation of 0.2829, and Risk Adjusted Performance of (0.1) to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.0234, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Cognios Market's returns are expected to increase less than the market. However, during the bear market, the loss of holding Cognios Market is expected to be smaller as well.
Auto-correlation | -0.34 |
Poor reverse predictability
Cognios Market Neutral has poor reverse predictability. Overlapping area represents the amount of predictability between Cognios Market time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Cognios Market Neutral price movement. The serial correlation of -0.34 indicates that nearly 34.0% of current Cognios Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.34 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Cognios Market Neutral lagged returns against current returns
Autocorrelation, which is Cognios Market 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 Cognios Market's mutual fund expected returns. We can calculate the autocorrelation of Cognios Market returns to help us make a trade decision. For example, suppose you find that Cognios Market 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 |
Cognios Market 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 Cognios Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cognios Market mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cognios Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Cognios Market Lagged Returns
When evaluating Cognios Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cognios Market mutual fund have on its future price. Cognios Market 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, Cognios Market autocorrelation shows the relationship between Cognios Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Cognios Market Neutral.
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 Cognios Mutual Fund
Cognios Market financial ratios help investors to determine whether Cognios 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 Cognios with respect to the benefits of owning Cognios Market security.
| Technical Analysis Check basic technical indicators and analysis based on most latest market data | |
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio Analyzer Portfolio analysis module that provides access to portfolio diagnostics and optimization engine |