Northeast Investors Trust Fund Market Value
| NTHEX Fund | USD 3.68 0.07 1.87% |
| Symbol | Northeast |
Northeast Investors '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 Northeast Investors' 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 Northeast Investors.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in Northeast Investors on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding Northeast Investors Trust or generate 0.0% return on investment in Northeast Investors over 720 days. Northeast Investors is related to or competes with Delaware Limited-term, Jhancock Diversified, Blackrock, Small Cap, Sentinel Small, Vanguard Strategic, and Tax-managed. The fund invests primarily in marketable securities of established companies which the Trustees believe provide income a... More
Northeast Investors 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 Northeast Investors' 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 Northeast Investors Trust upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2923 | |||
| Information Ratio | (0.29) | |||
| Maximum Drawdown | 1.11 | |||
| Value At Risk | (0.27) | |||
| Potential Upside | 0.5376 |
Northeast Investors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Northeast Investors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Northeast Investors' standard deviation. In reality, there are many statistical measures that can use Northeast Investors historical prices to predict the future Northeast Investors' volatility.| Risk Adjusted Performance | 0.206 | |||
| Jensen Alpha | 0.0554 | |||
| Total Risk Alpha | 0.0217 | |||
| Sortino Ratio | (0.22) | |||
| Treynor Ratio | 7.22 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Northeast Investors' 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.
Northeast Investors Trust Backtested Returns
At this stage we consider Northeast Mutual Fund to be very steady. Northeast Investors Trust has Sharpe Ratio of 0.0989, which conveys that the entity had a 0.0989% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Northeast Investors, which you can use to evaluate the volatility of the fund. Please verify Northeast Investors' Risk Adjusted Performance of 0.206, coefficient of variation of 331.23, and Mean Deviation of 0.1559 to check out if the risk estimate we provide is consistent with the expected return of 0.031%. The fund secures a Beta (Market Risk) of 0.0078, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Northeast Investors' returns are expected to increase less than the market. However, during the bear market, the loss of holding Northeast Investors is expected to be smaller as well.
Auto-correlation | 0.84 |
Very good predictability
Northeast Investors Trust has very good predictability. Overlapping area represents the amount of predictability between Northeast Investors time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 Northeast Investors Trust price movement. The serial correlation of 0.84 indicates that around 84.0% of current Northeast Investors price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.86 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Northeast Investors Trust lagged returns against current returns
Autocorrelation, which is Northeast Investors 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 Northeast Investors' mutual fund expected returns. We can calculate the autocorrelation of Northeast Investors returns to help us make a trade decision. For example, suppose you find that Northeast Investors 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 |
Northeast Investors 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 Northeast Investors mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Northeast Investors mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Northeast Investors mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Northeast Investors Lagged Returns
When evaluating Northeast Investors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Northeast Investors mutual fund have on its future price. Northeast Investors 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, Northeast Investors autocorrelation shows the relationship between Northeast Investors mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Northeast Investors Trust.
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 Northeast Mutual Fund
Northeast Investors financial ratios help investors to determine whether Northeast 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 Northeast with respect to the benefits of owning Northeast Investors security.
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