Litman Gregory Masters Fund Market Value
| MSEFX Fund | USD 12.04 0.09 0.74% |
| Symbol | Litman |
Litman Gregory '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 Litman Gregory'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 Litman Gregory.
| 08/05/2024 |
| 02/01/2025 |
If you would invest 0.00 in Litman Gregory on August 5, 2024 and sell it all today you would earn a total of 0.00 from holding Litman Gregory Masters or generate 0.0% return on investment in Litman Gregory over 180 days. Litman Gregory is related to or competes with Artisan Small, Sp Smallcap, Vy Columbia, Franklin Small, Smallcap Fund, and Rbc Small. Under normal conditions, each sub-advisor manages a portion of the funds assets by independently managing a portfolio ty... More
Litman Gregory 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 Litman Gregory'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 Litman Gregory Masters upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 7.67 | |||
| Value At Risk | (1.52) | |||
| Potential Upside | 1.1 |
Litman Gregory Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Litman Gregory's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Litman Gregory's standard deviation. In reality, there are many statistical measures that can use Litman Gregory historical prices to predict the future Litman Gregory's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.16) | |||
| Treynor Ratio | (0.08) |
Litman Gregory Masters Backtested Returns
Litman Gregory Masters has Sharpe Ratio of -0.0376, which conveys that the entity had a -0.0376 % return per unit of risk over the last 3 months. Litman Gregory exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Litman Gregory's Standard Deviation of 1.02, risk adjusted performance of (0.03), and Mean Deviation of 0.611 to check out the risk estimate we provide. The fund secures a Beta (Market Risk) of 0.63, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Litman Gregory's returns are expected to increase less than the market. However, during the bear market, the loss of holding Litman Gregory is expected to be smaller as well.
Auto-correlation | -0.55 |
Good reverse predictability
Litman Gregory Masters has good reverse predictability. Overlapping area represents the amount of predictability between Litman Gregory time series from 5th of August 2024 to 3rd of November 2024 and 3rd of November 2024 to 1st of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Litman Gregory Masters price movement. The serial correlation of -0.55 indicates that about 55.0% of current Litman Gregory price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.55 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.27 |
Litman Gregory Masters lagged returns against current returns
Autocorrelation, which is Litman Gregory 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 Litman Gregory's mutual fund expected returns. We can calculate the autocorrelation of Litman Gregory returns to help us make a trade decision. For example, suppose you find that Litman Gregory 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 |
Litman Gregory 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 Litman Gregory mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Litman Gregory mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Litman Gregory mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Litman Gregory Lagged Returns
When evaluating Litman Gregory's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Litman Gregory mutual fund have on its future price. Litman Gregory 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, Litman Gregory autocorrelation shows the relationship between Litman Gregory mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Litman Gregory Masters.
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 Litman Mutual Fund
Litman Gregory financial ratios help investors to determine whether Litman 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 Litman with respect to the benefits of owning Litman Gregory security.
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