Catalystmillburn Hedge Strategy Fund Market Value
| MBXAX Fund | USD 39.58 0.32 0.80% |
| Symbol | Catalyst/millburn |
Catalyst/millburn '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 Catalyst/millburn'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 Catalyst/millburn.
| 09/30/2023 |
| 11/23/2024 |
If you would invest 0.00 in Catalyst/millburn on September 30, 2023 and sell it all today you would earn a total of 0.00 from holding Catalystmillburn Hedge Strategy or generate 0.0% return on investment in Catalyst/millburn over 420 days. Catalyst/millburn is related to or competes with Catalyst/millburn, Catalyst/millburn, Blackrock Tactical, and Blackrock Tactical. The fund seeks to achieve its investment objective by investing in a portfolio comprised of futures contracts, forward and spot contracts, andor options on futures contracts on or related to the following sectors currencies, interest rate instruments, stock indices, metals, energy and agricultural commodities, and equity ETFs, common stocks , intended to capitalize on the non-correlated, long term historical performance of the equities and managed futures asset classes. More
Catalyst/millburn 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 Catalyst/millburn'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 Catalystmillburn Hedge Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5272 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 2.78 | |||
| Value At Risk | (0.63) | |||
| Potential Upside | 0.6937 |
Catalyst/millburn Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Catalyst/millburn's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Catalyst/millburn's standard deviation. In reality, there are many statistical measures that can use Catalyst/millburn historical prices to predict the future Catalyst/millburn's volatility.| Risk Adjusted Performance | 0.077 | |||
| Jensen Alpha | 0.0492 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.10) | |||
| Treynor Ratio | (0.98) |
Catalystmillburn Hedge Backtested Returns
At this stage we consider Catalyst/millburn Mutual Fund to be very steady. Catalystmillburn Hedge secures Sharpe Ratio (or Efficiency) of 0.0977, which signifies that the fund had a 0.0977% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Catalystmillburn Hedge Strategy, which you can use to evaluate the volatility of the entity. Please confirm Catalyst/millburn's Mean Deviation of 0.3484, downside deviation of 0.5272, and Risk Adjusted Performance of 0.077 to double-check if the risk estimate we provide is consistent with the expected return of 0.0515%. The fund shows a Beta (market volatility) of -0.0454, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Catalyst/millburn are expected to decrease at a much lower rate. During the bear market, Catalyst/millburn is likely to outperform the market.
Auto-correlation | -0.03 |
Very weak reverse predictability
Catalystmillburn Hedge Strategy has very weak reverse predictability. Overlapping area represents the amount of predictability between Catalyst/millburn time series from 30th of September 2023 to 27th of April 2024 and 27th of April 2024 to 23rd 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 Catalystmillburn Hedge price movement. The serial correlation of -0.03 indicates that only 3.0% of current Catalyst/millburn price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.61 |
Catalystmillburn Hedge lagged returns against current returns
Autocorrelation, which is Catalyst/millburn 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 Catalyst/millburn's mutual fund expected returns. We can calculate the autocorrelation of Catalyst/millburn returns to help us make a trade decision. For example, suppose you find that Catalyst/millburn 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 |
Catalyst/millburn 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 Catalyst/millburn mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Catalyst/millburn mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Catalyst/millburn mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Catalyst/millburn Lagged Returns
When evaluating Catalyst/millburn's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Catalyst/millburn mutual fund have on its future price. Catalyst/millburn 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, Catalyst/millburn autocorrelation shows the relationship between Catalyst/millburn mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Catalystmillburn Hedge Strategy.
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 Catalyst/millburn Mutual Fund
Catalyst/millburn financial ratios help investors to determine whether Catalyst/millburn 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 Catalyst/millburn with respect to the benefits of owning Catalyst/millburn security.
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume |