Elfun Diversified Fund Market Value
| ELDFX Fund | USD 21.85 0.01 0.05% |
| Symbol | Elfun |
Elfun Diversified '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 Elfun Diversified'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 Elfun Diversified.
| 09/04/2023 |
| 11/27/2024 |
If you would invest 0.00 in Elfun Diversified on September 4, 2023 and sell it all today you would earn a total of 0.00 from holding Elfun Diversified Fund or generate 0.0% return on investment in Elfun Diversified over 450 days. Elfun Diversified is related to or competes with Calvert High, Morningstar Aggressive, Vanguard High-yield, Victory High, Artisan High, and Goldman Sachs. The funds investments in U.S. equity securities are achieved primarily through a passive or indexing investment approach... More
Elfun Diversified 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 Elfun Diversified'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 Elfun Diversified Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4946 | |||
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 2.09 | |||
| Value At Risk | (0.69) | |||
| Potential Upside | 0.6996 |
Elfun Diversified Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Elfun Diversified's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Elfun Diversified's standard deviation. In reality, there are many statistical measures that can use Elfun Diversified historical prices to predict the future Elfun Diversified's volatility.| Risk Adjusted Performance | 0.0391 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.21) | |||
| Treynor Ratio | 0.04 |
Elfun Diversified Backtested Returns
At this stage we consider Elfun Mutual Fund to be very steady. Elfun Diversified secures Sharpe Ratio (or Efficiency) of 0.0731, which denotes the fund had a 0.0731% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Elfun Diversified Fund, which you can use to evaluate the volatility of the entity. Please confirm Elfun Diversified's Mean Deviation of 0.3407, downside deviation of 0.4946, and Coefficient Of Variation of 1650.79 to check if the risk estimate we provide is consistent with the expected return of 0.0328%. The fund shows a Beta (market volatility) of 0.42, which means possible diversification benefits within a given portfolio. As returns on the market increase, Elfun Diversified's returns are expected to increase less than the market. However, during the bear market, the loss of holding Elfun Diversified is expected to be smaller as well.
Auto-correlation | 0.80 |
Very good predictability
Elfun Diversified Fund has very good predictability. Overlapping area represents the amount of predictability between Elfun Diversified time series from 4th of September 2023 to 16th of April 2024 and 16th of April 2024 to 27th 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 Elfun Diversified price movement. The serial correlation of 0.8 indicates that around 80.0% of current Elfun Diversified price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.84 | |
| Residual Average | 0.0 | |
| Price Variance | 0.45 |
Elfun Diversified lagged returns against current returns
Autocorrelation, which is Elfun Diversified 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 Elfun Diversified's mutual fund expected returns. We can calculate the autocorrelation of Elfun Diversified returns to help us make a trade decision. For example, suppose you find that Elfun Diversified 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 |
Elfun Diversified 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 Elfun Diversified mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Elfun Diversified mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Elfun Diversified mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Elfun Diversified Lagged Returns
When evaluating Elfun Diversified's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Elfun Diversified mutual fund have on its future price. Elfun Diversified 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, Elfun Diversified autocorrelation shows the relationship between Elfun Diversified mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Elfun Diversified Fund.
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 Elfun Mutual Fund
Elfun Diversified financial ratios help investors to determine whether Elfun 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 Elfun with respect to the benefits of owning Elfun Diversified security.
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