Payden Absolute Return Fund Market Value
| PYABX Fund | 9.46 0.08 0.84% |
| Symbol | Payden |
Payden Absolute '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 Payden Absolute'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 Payden Absolute.
| 10/29/2024 |
| 11/28/2024 |
If you would invest 0.00 in Payden Absolute on October 29, 2024 and sell it all today you would earn a total of 0.00 from holding Payden Absolute Return or generate 0.0% return on investment in Payden Absolute over 30 days.
Payden Absolute 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 Payden Absolute'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 Payden Absolute Return upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1138 | |||
| Information Ratio | (1.57) | |||
| Maximum Drawdown | 0.3172 | |||
| Value At Risk | (0.11) | |||
| Potential Upside | 0.1063 |
Payden Absolute Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Payden Absolute's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Payden Absolute's standard deviation. In reality, there are many statistical measures that can use Payden Absolute historical prices to predict the future Payden Absolute's volatility.| Risk Adjusted Performance | 0.1285 | |||
| Jensen Alpha | 0.0078 | |||
| Total Risk Alpha | (0.0002) | |||
| Sortino Ratio | (0.96) | |||
| Treynor Ratio | 0.4326 |
Payden Absolute Return Backtested Returns
At this stage we consider Payden Mutual Fund to be very steady. Payden Absolute Return maintains Sharpe Ratio (i.e., Efficiency) of 0.0527, which implies the entity had a 0.0527% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Payden Absolute Return, which you can use to evaluate the volatility of the fund. Please check Payden Absolute's Risk Adjusted Performance of 0.1285, downside deviation of 0.1138, and Standard Deviation of 0.0698 to confirm if the risk estimate we provide is consistent with the expected return of 0.0068%. The fund holds a Beta of 0.025, which implies not very significant fluctuations relative to the market. As returns on the market increase, Payden Absolute's returns are expected to increase less than the market. However, during the bear market, the loss of holding Payden Absolute is expected to be smaller as well.
Auto-correlation | -0.23 |
Weak reverse predictability
Payden Absolute Return has weak reverse predictability. Overlapping area represents the amount of predictability between Payden Absolute time series from 29th of October 2024 to 13th of November 2024 and 13th of November 2024 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 Payden Absolute Return price movement. The serial correlation of -0.23 indicates that over 23.0% of current Payden Absolute price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Payden Absolute Return lagged returns against current returns
Autocorrelation, which is Payden Absolute 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 Payden Absolute's mutual fund expected returns. We can calculate the autocorrelation of Payden Absolute returns to help us make a trade decision. For example, suppose you find that Payden Absolute 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 |
Payden Absolute 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 Payden Absolute mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Payden Absolute mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Payden Absolute mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Payden Absolute Lagged Returns
When evaluating Payden Absolute's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Payden Absolute mutual fund have on its future price. Payden Absolute 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, Payden Absolute autocorrelation shows the relationship between Payden Absolute mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Payden Absolute Return.
Regressed Prices |
| Timeline |
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