Pzena Emerging Markets Fund Market Value
| PZIEX Fund | USD 13.02 0.16 1.21% |
| Symbol | Pzena |
Pzena Emerging '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 Pzena Emerging'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 Pzena Emerging.
| 12/07/2023 |
| 12/01/2024 |
If you would invest 0.00 in Pzena Emerging on December 7, 2023 and sell it all today you would earn a total of 0.00 from holding Pzena Emerging Markets or generate 0.0% return on investment in Pzena Emerging over 360 days. Pzena Emerging is related to or competes with Pzena International, Pzena International, Pzena Small, Pzena International, Pzena Small, Pzena Mid, and Pzena International. The fund invests at least 80 percent of its net assets in stocks of companies located in emerging market countries More
Pzena Emerging 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 Pzena Emerging'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 Pzena Emerging Markets upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.04 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 7.04 | |||
| Value At Risk | (1.65) | |||
| Potential Upside | 1.74 |
Pzena Emerging Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pzena Emerging's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pzena Emerging's standard deviation. In reality, there are many statistical measures that can use Pzena Emerging historical prices to predict the future Pzena Emerging's volatility.| Risk Adjusted Performance | 0.0078 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | (0.02) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pzena Emerging'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.
Pzena Emerging Markets Backtested Returns
At this stage we consider Pzena Mutual Fund to be very steady. Pzena Emerging Markets maintains Sharpe Ratio (i.e., Efficiency) of 0.0175, which implies the entity had a 0.0175% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Pzena Emerging Markets, which you can use to evaluate the volatility of the fund. Please check Pzena Emerging's Coefficient Of Variation of 15640.71, risk adjusted performance of 0.0078, and Semi Deviation of 1.0 to confirm if the risk estimate we provide is consistent with the expected return of 0.0191%. The fund holds a Beta of 0.15, which implies not very significant fluctuations relative to the market. As returns on the market increase, Pzena Emerging's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pzena Emerging is expected to be smaller as well.
Auto-correlation | 0.65 |
Good predictability
Pzena Emerging Markets has good predictability. Overlapping area represents the amount of predictability between Pzena Emerging time series from 7th of December 2023 to 4th of June 2024 and 4th of June 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 Pzena Emerging Markets price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Pzena Emerging price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.24 |
Pzena Emerging Markets lagged returns against current returns
Autocorrelation, which is Pzena Emerging 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 Pzena Emerging's mutual fund expected returns. We can calculate the autocorrelation of Pzena Emerging returns to help us make a trade decision. For example, suppose you find that Pzena Emerging 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 |
Pzena Emerging 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 Pzena Emerging mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pzena Emerging mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Pzena Emerging mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pzena Emerging Lagged Returns
When evaluating Pzena Emerging's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pzena Emerging mutual fund have on its future price. Pzena Emerging 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, Pzena Emerging autocorrelation shows the relationship between Pzena Emerging mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pzena Emerging Markets.
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 Pzena Mutual Fund
Pzena Emerging financial ratios help investors to determine whether Pzena 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 Pzena with respect to the benefits of owning Pzena Emerging security.
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