Mackenzie Bluewater Canadian Fund Market Value
| MFC091 Fund | 19.43 0.04 0.21% |
| Symbol | Mackenzie |
Mackenzie Bluewater '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 Mackenzie Bluewater's 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 Mackenzie Bluewater.
| 11/03/2024 |
| 12/03/2024 |
If you would invest 0.00 in Mackenzie Bluewater on November 3, 2024 and sell it all today you would earn a total of 0.00 from holding Mackenzie Bluewater Canadian or generate 0.0% return on investment in Mackenzie Bluewater over 30 days.
Mackenzie Bluewater 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 Mackenzie Bluewater's 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 Mackenzie Bluewater Canadian upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5222 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.72 | |||
| Value At Risk | (0.66) | |||
| Potential Upside | 0.9559 |
Mackenzie Bluewater Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mackenzie Bluewater's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mackenzie Bluewater's standard deviation. In reality, there are many statistical measures that can use Mackenzie Bluewater historical prices to predict the future Mackenzie Bluewater's volatility.| Risk Adjusted Performance | 0.1581 | |||
| Jensen Alpha | 0.0755 | |||
| Total Risk Alpha | 0.0237 | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.4181 |
Mackenzie Bluewater Backtested Returns
At this point, Mackenzie Bluewater is very steady. Mackenzie Bluewater has Sharpe Ratio of 0.21, which conveys that the entity had a 0.21% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mackenzie Bluewater, which you can use to evaluate the volatility of the fund. Please verify Mackenzie Bluewater's Risk Adjusted Performance of 0.1581, mean deviation of 0.4315, and Downside Deviation of 0.5222 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. The fund secures a Beta (Market Risk) of 0.25, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mackenzie Bluewater's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mackenzie Bluewater is expected to be smaller as well.
Auto-correlation | 0.73 |
Good predictability
Mackenzie Bluewater Canadian has good predictability. Overlapping area represents the amount of predictability between Mackenzie Bluewater time series from 3rd of November 2024 to 18th of November 2024 and 18th of November 2024 to 3rd 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 Mackenzie Bluewater price movement. The serial correlation of 0.73 indicates that around 73.0% of current Mackenzie Bluewater price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.73 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Mackenzie Bluewater lagged returns against current returns
Autocorrelation, which is Mackenzie Bluewater 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 Mackenzie Bluewater's fund expected returns. We can calculate the autocorrelation of Mackenzie Bluewater returns to help us make a trade decision. For example, suppose you find that Mackenzie Bluewater has exhibited high autocorrelation historically, and you observe that the 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 |
Mackenzie Bluewater 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 Mackenzie Bluewater fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mackenzie Bluewater fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mackenzie Bluewater fund over time.
Current vs Lagged Prices |
| Timeline |
Mackenzie Bluewater Lagged Returns
When evaluating Mackenzie Bluewater's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mackenzie Bluewater fund have on its future price. Mackenzie Bluewater 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, Mackenzie Bluewater autocorrelation shows the relationship between Mackenzie Bluewater fund current value and its past values and can show if there is a momentum factor associated with investing in Mackenzie Bluewater Canadian.
Regressed Prices |
| Timeline |
Pair Trading with Mackenzie Bluewater
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Mackenzie Bluewater position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mackenzie Bluewater will appreciate offsetting losses from the drop in the long position's value.Moving together with Mackenzie Fund
| 0.94 | 0P0000706A | RBC Select Balanced | PairCorr |
| 0.94 | 0P00007069 | RBC Portefeuille | PairCorr |
| 0.89 | 0P0000IUYO | Edgepoint Global Por | PairCorr |
| 0.93 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
| 0.98 | 0P00012UCU | RBC Global Equity | PairCorr |
The ability to find closely correlated positions to Mackenzie Bluewater could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mackenzie Bluewater when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Mackenzie Bluewater - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Mackenzie Bluewater Canadian to buy it.
The correlation of Mackenzie Bluewater is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Mackenzie Bluewater moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mackenzie Bluewater moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Mackenzie Bluewater can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.| Balance Of Power Check stock momentum by analyzing Balance Of Power indicator and other technical ratios | |
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