Fuller Thaler Behavioral Fund Market Value
| FTMSX Fund | USD 27.47 0.32 1.15% |
| Symbol | Fuller |
Fuller Thaler '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 Fuller Thaler'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 Fuller Thaler.
| 05/07/2023 |
| 11/27/2024 |
If you would invest 0.00 in Fuller Thaler on May 7, 2023 and sell it all today you would earn a total of 0.00 from holding Fuller Thaler Behavioral or generate 0.0% return on investment in Fuller Thaler over 570 days. Fuller Thaler is related to or competes with Goldman Sachs, Edgewood Growth, Pimco Investment, Oakmark International, and Undiscovered Managers. Under normal circumstances, the fund seeks to achieve its objective by investing at least 80 percent of its net assets i... More
Fuller Thaler 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 Fuller Thaler'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 Fuller Thaler Behavioral upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | 0.0168 | |||
| Maximum Drawdown | 6.22 | |||
| Value At Risk | (1.96) | |||
| Potential Upside | 2.72 |
Fuller Thaler Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fuller Thaler's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fuller Thaler's standard deviation. In reality, there are many statistical measures that can use Fuller Thaler historical prices to predict the future Fuller Thaler's volatility.| Risk Adjusted Performance | 0.0808 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | 0.0192 | |||
| Treynor Ratio | 0.0919 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fuller Thaler'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.
Fuller Thaler Behavioral Backtested Returns
At this stage we consider Fuller Mutual Fund to be very steady. Fuller Thaler Behavioral secures Sharpe Ratio (or Efficiency) of 0.099, which denotes the fund had a 0.099% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Fuller Thaler Behavioral, which you can use to evaluate the volatility of the entity. Please confirm Fuller Thaler's Downside Deviation of 1.37, mean deviation of 1.26, and Coefficient Of Variation of 1009.6 to check if the risk estimate we provide is consistent with the expected return of 0.16%. The fund shows a Beta (market volatility) of 1.58, which means a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Fuller Thaler will likely underperform.
Auto-correlation | 0.06 |
Virtually no predictability
Fuller Thaler Behavioral has virtually no predictability. Overlapping area represents the amount of predictability between Fuller Thaler time series from 7th of May 2023 to 16th of February 2024 and 16th of February 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 Fuller Thaler Behavioral price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Fuller Thaler price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | -0.01 | |
| Residual Average | 0.0 | |
| Price Variance | 1.16 |
Fuller Thaler Behavioral lagged returns against current returns
Autocorrelation, which is Fuller Thaler 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 Fuller Thaler's mutual fund expected returns. We can calculate the autocorrelation of Fuller Thaler returns to help us make a trade decision. For example, suppose you find that Fuller Thaler 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 |
Fuller Thaler 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 Fuller Thaler mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fuller Thaler mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Fuller Thaler mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Fuller Thaler Lagged Returns
When evaluating Fuller Thaler's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fuller Thaler mutual fund have on its future price. Fuller Thaler 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, Fuller Thaler autocorrelation shows the relationship between Fuller Thaler mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Fuller Thaler Behavioral.
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 Fuller Mutual Fund
Fuller Thaler financial ratios help investors to determine whether Fuller 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 Fuller with respect to the benefits of owning Fuller Thaler security.
| Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
| Global Correlations Find global opportunities by holding instruments from different markets | |
| Positions Ratings Determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance | |
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas |