Massmutual Select Small Fund Market Value
| MSGSX Fund | USD 17.86 0.07 0.39% |
| Symbol | Massmutual |
Massmutual Select '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 Massmutual Select'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 Massmutual Select.
| 11/01/2024 |
| 12/01/2024 |
If you would invest 0.00 in Massmutual Select on November 1, 2024 and sell it all today you would earn a total of 0.00 from holding Massmutual Select Small or generate 0.0% return on investment in Massmutual Select over 30 days. Massmutual Select is related to or competes with Government Securities, John Hancock, Us Government, and Us Government. The fund normally invests at least 80 percent of its net assets in the equity securities of companies whose market capit... More
Massmutual Select 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 Massmutual Select'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 Massmutual Select Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | 0.0308 | |||
| Maximum Drawdown | 6.51 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.9 |
Massmutual Select Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Massmutual Select's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Massmutual Select's standard deviation. In reality, there are many statistical measures that can use Massmutual Select historical prices to predict the future Massmutual Select's volatility.| Risk Adjusted Performance | 0.1143 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0318 | |||
| Treynor Ratio | 0.1179 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Massmutual Select'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.
Massmutual Select Small Backtested Returns
Massmutual Select appears to be very steady, given 3 months investment horizon. Massmutual Select Small has Sharpe Ratio of 0.19, which conveys that the entity had a 0.19% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Massmutual Select, which you can use to evaluate the volatility of the fund. Please exercise Massmutual Select's Downside Deviation of 1.17, mean deviation of 0.864, and Risk Adjusted Performance of 0.1143 to check out if our risk estimates are consistent with your expectations. The fund secures a Beta (Market Risk) of 1.4, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Massmutual Select will likely underperform.
Auto-correlation | 0.91 |
Excellent predictability
Massmutual Select Small has excellent predictability. Overlapping area represents the amount of predictability between Massmutual Select time series from 1st of November 2024 to 16th of November 2024 and 16th of November 2024 to 1st 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 Massmutual Select Small price movement. The serial correlation of 0.91 indicates that approximately 91.0% of current Massmutual Select price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.91 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Massmutual Select Small lagged returns against current returns
Autocorrelation, which is Massmutual Select 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 Massmutual Select's mutual fund expected returns. We can calculate the autocorrelation of Massmutual Select returns to help us make a trade decision. For example, suppose you find that Massmutual Select 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 |
Massmutual Select 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 Massmutual Select mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Massmutual Select mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Massmutual Select mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Massmutual Select Lagged Returns
When evaluating Massmutual Select's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Massmutual Select mutual fund have on its future price. Massmutual Select 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, Massmutual Select autocorrelation shows the relationship between Massmutual Select mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Massmutual Select Small.
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 Massmutual Mutual Fund
Massmutual Select financial ratios help investors to determine whether Massmutual 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 Massmutual with respect to the benefits of owning Massmutual Select security.
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| Equity Forecasting Use basic forecasting models to generate price predictions and determine price momentum | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon |