Highland Merger Arbitrage Fund Market Value
| HMECX Fund | USD 18.91 0.01 0.05% |
| Symbol | Highland |
Highland Merger '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 Highland Merger'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 Highland Merger.
| 06/09/2023 |
| 11/30/2024 |
If you would invest 0.00 in Highland Merger on June 9, 2023 and sell it all today you would earn a total of 0.00 from holding Highland Merger Arbitrage or generate 0.0% return on investment in Highland Merger over 540 days. Highland Merger is related to or competes with Mesirow Financial, Prudential Short, Federated Institutional, Gmo High, and Msift High. The fund normally invests at least 80 percent of the value of its total assets in securities of companies that are invol... More
Highland Merger 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 Highland Merger'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 Highland Merger Arbitrage upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2546 | |||
| Information Ratio | (0.67) | |||
| Maximum Drawdown | 1.85 | |||
| Value At Risk | (0.16) | |||
| Potential Upside | 0.1597 |
Highland Merger Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Highland Merger's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Highland Merger's standard deviation. In reality, there are many statistical measures that can use Highland Merger historical prices to predict the future Highland Merger's volatility.| Risk Adjusted Performance | 0.026 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.49) | |||
| Treynor Ratio | 0.0881 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Highland Merger'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.
Highland Merger Arbitrage Backtested Returns
At this stage we consider Highland Mutual Fund to be very steady. Highland Merger Arbitrage holds Efficiency (Sharpe) Ratio of 0.0635, which attests that the entity had a 0.0635% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Highland Merger Arbitrage, which you can use to evaluate the volatility of the entity. Please check out Highland Merger's Downside Deviation of 0.2546, risk adjusted performance of 0.026, and Market Risk Adjusted Performance of 0.0981 to validate if the risk estimate we provide is consistent with the expected return of 0.012%. The fund retains a Market Volatility (i.e., Beta) of 0.0437, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Highland Merger's returns are expected to increase less than the market. However, during the bear market, the loss of holding Highland Merger is expected to be smaller as well.
Auto-correlation | 0.92 |
Excellent predictability
Highland Merger Arbitrage has excellent predictability. Overlapping area represents the amount of predictability between Highland Merger time series from 9th of June 2023 to 5th of March 2024 and 5th of March 2024 to 30th 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 Highland Merger Arbitrage price movement. The serial correlation of 0.92 indicates that approximately 92.0% of current Highland Merger price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.92 | |
| Spearman Rank Test | 0.97 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Highland Merger Arbitrage lagged returns against current returns
Autocorrelation, which is Highland Merger 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 Highland Merger's mutual fund expected returns. We can calculate the autocorrelation of Highland Merger returns to help us make a trade decision. For example, suppose you find that Highland Merger 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 |
Highland Merger 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 Highland Merger mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Highland Merger mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Highland Merger mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Highland Merger Lagged Returns
When evaluating Highland Merger's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Highland Merger mutual fund have on its future price. Highland Merger 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, Highland Merger autocorrelation shows the relationship between Highland Merger mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Highland Merger Arbitrage.
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 Highland Mutual Fund
Highland Merger financial ratios help investors to determine whether Highland 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 Highland with respect to the benefits of owning Highland Merger security.
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