Parametric Modity Strategy Fund Market Value
| EIPCX Fund | USD 6.50 0.04 0.61% |
| Symbol | Parametric |
Parametric Modity '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 Parametric Modity'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 Parametric Modity.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in Parametric Modity on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding Parametric Modity Strategy or generate 0.0% return on investment in Parametric Modity over 30 days. Parametric Modity is related to or competes with Qs Us, Abr 75/25, Rbb Fund, Falcon Focus, Balanced Fund, Rbc Microcap, and Aam Select. The fund invests primarily in commodity-linked derivative instruments backed by a portfolio of fixed-income securities More
Parametric Modity 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 Parametric Modity'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 Parametric Modity Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.982 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 3.57 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.55 |
Parametric Modity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Parametric Modity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Parametric Modity's standard deviation. In reality, there are many statistical measures that can use Parametric Modity historical prices to predict the future Parametric Modity's volatility.| Risk Adjusted Performance | 0.0481 | |||
| Jensen Alpha | 0.0357 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 1.04 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Parametric Modity'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.
Parametric Modity Backtested Returns
At this stage we consider Parametric Mutual Fund to be not too volatile. Parametric Modity maintains Sharpe Ratio (i.e., Efficiency) of 0.0961, which implies the entity had a 0.0961% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Parametric Modity, which you can use to evaluate the volatility of the fund. Please check Parametric Modity's Risk Adjusted Performance of 0.0481, coefficient of variation of 1611.99, and Semi Deviation of 0.795 to confirm if the risk estimate we provide is consistent with the expected return of 0.077%. The fund holds a Beta of 0.0391, which implies not very significant fluctuations relative to the market. As returns on the market increase, Parametric Modity's returns are expected to increase less than the market. However, during the bear market, the loss of holding Parametric Modity is expected to be smaller as well.
Auto-correlation | 0.36 |
Below average predictability
Parametric Modity Strategy has below average predictability. Overlapping area represents the amount of predictability between Parametric Modity time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 2024 to 2nd 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 Parametric Modity price movement. The serial correlation of 0.36 indicates that just about 36.0% of current Parametric Modity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | 0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Parametric Modity lagged returns against current returns
Autocorrelation, which is Parametric Modity 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 Parametric Modity's mutual fund expected returns. We can calculate the autocorrelation of Parametric Modity returns to help us make a trade decision. For example, suppose you find that Parametric Modity 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 |
Parametric Modity 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 Parametric Modity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Parametric Modity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Parametric Modity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Parametric Modity Lagged Returns
When evaluating Parametric Modity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Parametric Modity mutual fund have on its future price. Parametric Modity 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, Parametric Modity autocorrelation shows the relationship between Parametric Modity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Parametric Modity Strategy.
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 Parametric Mutual Fund
Parametric Modity financial ratios help investors to determine whether Parametric 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 Parametric with respect to the benefits of owning Parametric Modity security.
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