Federated Mortgage Fund Market Value
| FGFSX Fund | USD 8.26 0.01 0.12% |
| Symbol | Federated |
Federated Mortgage '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 Federated Mortgage'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 Federated Mortgage.
| 11/11/2024 |
| 12/11/2024 |
If you would invest 0.00 in Federated Mortgage on November 11, 2024 and sell it all today you would earn a total of 0.00 from holding Federated Mortgage Fund or generate 0.0% return on investment in Federated Mortgage over 30 days. Federated Mortgage is related to or competes with Nuveen Real, Franklin Real, Guggenheim Risk, Dunham Real, Prudential Real, Short Real, and Fidelity Real. The fund will invest in MBS that are issued or guaranteed by U.S More
Federated Mortgage 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 Federated Mortgage'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 Federated Mortgage Fund upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.51) | |||
| Maximum Drawdown | 1.21 | |||
| Value At Risk | (0.49) | |||
| Potential Upside | 0.3676 |
Federated Mortgage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Federated Mortgage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Federated Mortgage's standard deviation. In reality, there are many statistical measures that can use Federated Mortgage historical prices to predict the future Federated Mortgage's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.08) | |||
| Treynor Ratio | (0.69) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Federated Mortgage'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.
Federated Mortgage Backtested Returns
Federated Mortgage secures Sharpe Ratio (or Efficiency) of -0.1, which denotes the fund had a -0.1% return per unit of risk over the last 3 months. Federated Mortgage Fund exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Federated Mortgage's Variance of 0.0849, standard deviation of 0.2914, and Mean Deviation of 0.2198 to check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.0505, which means not very significant fluctuations relative to the market. As returns on the market increase, Federated Mortgage's returns are expected to increase less than the market. However, during the bear market, the loss of holding Federated Mortgage is expected to be smaller as well.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Federated Mortgage Fund has insignificant reverse predictability. Overlapping area represents the amount of predictability between Federated Mortgage time series from 11th of November 2024 to 26th of November 2024 and 26th of November 2024 to 11th 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 Federated Mortgage price movement. The serial correlation of -0.2 indicates that over 20.0% of current Federated Mortgage price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Federated Mortgage lagged returns against current returns
Autocorrelation, which is Federated Mortgage 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 Federated Mortgage's mutual fund expected returns. We can calculate the autocorrelation of Federated Mortgage returns to help us make a trade decision. For example, suppose you find that Federated Mortgage 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 |
Federated Mortgage 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 Federated Mortgage mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Federated Mortgage mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Federated Mortgage mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Federated Mortgage Lagged Returns
When evaluating Federated Mortgage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Federated Mortgage mutual fund have on its future price. Federated Mortgage 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, Federated Mortgage autocorrelation shows the relationship between Federated Mortgage mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Federated Mortgage 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 Federated Mutual Fund
Federated Mortgage financial ratios help investors to determine whether Federated 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 Federated with respect to the benefits of owning Federated Mortgage security.
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