Intech Managed Volatility Fund Market Value
| JRSTX Fund | USD 12.09 0.05 0.42% |
| Symbol | Intech |
Intech Us '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 Intech Us' 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 Intech Us.
| 12/05/2022 |
| 11/24/2024 |
If you would invest 0.00 in Intech Us on December 5, 2022 and sell it all today you would earn a total of 0.00 from holding Intech Managed Volatility or generate 0.0% return on investment in Intech Us over 720 days. Intech Us is related to or competes with Large Cap, Large Cap, Laudus Us, Janus Forty, and Parnassus Mid. The fund invests, under normal circumstances, at least 80 percent of its net assets in equity securities of U.S More
Intech Us 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 Intech Us' 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 Intech Managed Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7649 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 3.35 | |||
| Value At Risk | (1.11) | |||
| Potential Upside | 1.17 |
Intech Us Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Intech Us' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Intech Us' standard deviation. In reality, there are many statistical measures that can use Intech Us historical prices to predict the future Intech Us' volatility.| Risk Adjusted Performance | 0.1032 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.1121 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Intech Us' 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.
Intech Managed Volatility Backtested Returns
At this stage we consider Intech Mutual Fund to be very steady. Intech Managed Volatility holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Intech Managed Volatility, which you can use to evaluate the volatility of the entity. Please check out Intech Us' Downside Deviation of 0.7649, market risk adjusted performance of 0.1221, and Risk Adjusted Performance of 0.1032 to validate if the risk estimate we provide is consistent with the expected return of 0.0889%. The fund retains a Market Volatility (i.e., Beta) of 0.78, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Intech Us' returns are expected to increase less than the market. However, during the bear market, the loss of holding Intech Us is expected to be smaller as well.
Auto-correlation | 0.58 |
Modest predictability
Intech Managed Volatility has modest predictability. Overlapping area represents the amount of predictability between Intech Us time series from 5th of December 2022 to 30th of November 2023 and 30th of November 2023 to 24th 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 Intech Managed Volatility price movement. The serial correlation of 0.58 indicates that roughly 58.0% of current Intech Us price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.58 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.54 |
Intech Managed Volatility lagged returns against current returns
Autocorrelation, which is Intech Us 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 Intech Us' mutual fund expected returns. We can calculate the autocorrelation of Intech Us returns to help us make a trade decision. For example, suppose you find that Intech Us 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 |
Intech Us 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 Intech Us mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Intech Us mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Intech Us mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Intech Us Lagged Returns
When evaluating Intech Us' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Intech Us mutual fund have on its future price. Intech Us 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, Intech Us autocorrelation shows the relationship between Intech Us mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Intech Managed Volatility.
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 Intech Mutual Fund
Intech Us financial ratios help investors to determine whether Intech 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 Intech with respect to the benefits of owning Intech Us security.
| Price Ceiling Movement Calculate and plot Price Ceiling Movement for different equity instruments | |
| Companies Directory Evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals | |
| Bonds Directory Find actively traded corporate debentures issued by US companies | |
| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios |