Frost Kempner Treasury Fund Market Value
| FIKTX Fund | USD 8.46 0.01 0.12% |
| Symbol | Frost |
Frost Kempner '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 Frost Kempner'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 Frost Kempner.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Frost Kempner on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Frost Kempner Treasury or generate 0.0% return on investment in Frost Kempner over 30 days. Frost Kempner is related to or competes with Dimensional Retirement, Jp Morgan, Fidelity Managed, Strategic Allocation:, Transamerica Cleartrack, Tiaa Cref, and Calvert Moderate. The fund normally invests at least 80 percent of assets in investment-grade debt securities of all types and repurchase ... More
Frost Kempner 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 Frost Kempner'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 Frost Kempner Treasury upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1477 | |||
| Information Ratio | (1.02) | |||
| Maximum Drawdown | 0.8301 | |||
| Value At Risk | (0.12) | |||
| Potential Upside | 0.2358 |
Frost Kempner Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Frost Kempner's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Frost Kempner's standard deviation. In reality, there are many statistical measures that can use Frost Kempner historical prices to predict the future Frost Kempner's volatility.| Risk Adjusted Performance | 0.0153 | |||
| Jensen Alpha | 0.0059 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.86) | |||
| Treynor Ratio | (0.02) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Frost Kempner'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.
Frost Kempner Treasury Backtested Returns
At this stage we consider Frost Mutual Fund to be very steady. Frost Kempner Treasury secures Sharpe Ratio (or Efficiency) of 0.0508, which denotes the fund had a 0.0508% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Frost Kempner Treasury, which you can use to evaluate the volatility of the entity. Please confirm Frost Kempner's Mean Deviation of 0.0839, coefficient of variation of 1144.05, and Standard Deviation of 0.1243 to check if the risk estimate we provide is consistent with the expected return of 0.0056%. The fund shows a Beta (market volatility) of -0.0392, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Frost Kempner are expected to decrease at a much lower rate. During the bear market, Frost Kempner is likely to outperform the market.
Auto-correlation | -0.62 |
Very good reverse predictability
Frost Kempner Treasury has very good reverse predictability. Overlapping area represents the amount of predictability between Frost Kempner time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Frost Kempner Treasury price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Frost Kempner price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Frost Kempner Treasury lagged returns against current returns
Autocorrelation, which is Frost Kempner 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 Frost Kempner's mutual fund expected returns. We can calculate the autocorrelation of Frost Kempner returns to help us make a trade decision. For example, suppose you find that Frost Kempner 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 |
Frost Kempner 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 Frost Kempner mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Frost Kempner mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Frost Kempner mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Frost Kempner Lagged Returns
When evaluating Frost Kempner's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Frost Kempner mutual fund have on its future price. Frost Kempner 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, Frost Kempner autocorrelation shows the relationship between Frost Kempner mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Frost Kempner Treasury.
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 Frost Mutual Fund
Frost Kempner financial ratios help investors to determine whether Frost 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 Frost with respect to the benefits of owning Frost Kempner security.
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