Multifactor Equity Fund Market Value
| RTDCX Fund | USD 20.59 0.10 0.49% |
| Symbol | Multifactor |
Multifactor '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 Multifactor'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 Multifactor.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Multifactor on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Multifactor Equity Fund or generate 0.0% return on investment in Multifactor over 30 days. Multifactor is related to or competes with Ab Global, Pace High, Goldman Sachs, Pioneer High, Ab High, Siit High, and Victory High. The fund has a non-fundamental policy to invest, under normal circumstances, at least 80 percent of the value of its net... More
Multifactor 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 Multifactor'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 Multifactor Equity Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.831 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.15 | |||
| Value At Risk | (1.27) | |||
| Potential Upside | 1.28 |
Multifactor Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Multifactor's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Multifactor's standard deviation. In reality, there are many statistical measures that can use Multifactor historical prices to predict the future Multifactor's volatility.| Risk Adjusted Performance | 0.0997 | |||
| Jensen Alpha | 0.0969 | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (4.13) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Multifactor'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.
Multifactor Equity Backtested Returns
At this stage we consider Multifactor Mutual Fund to be very steady. Multifactor Equity has Sharpe Ratio of 0.14, which conveys that the entity had a 0.14% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Multifactor, which you can use to evaluate the volatility of the fund. Please verify Multifactor's Risk Adjusted Performance of 0.0997, downside deviation of 0.831, and Mean Deviation of 0.579 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. The fund secures a Beta (Market Risk) of -0.0228, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Multifactor are expected to decrease at a much lower rate. During the bear market, Multifactor is likely to outperform the market.
Auto-correlation | 0.63 |
Good predictability
Multifactor Equity Fund has good predictability. Overlapping area represents the amount of predictability between Multifactor time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 Multifactor Equity price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Multifactor price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | -0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Multifactor Equity lagged returns against current returns
Autocorrelation, which is Multifactor 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 Multifactor's mutual fund expected returns. We can calculate the autocorrelation of Multifactor returns to help us make a trade decision. For example, suppose you find that Multifactor 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 |
Multifactor 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 Multifactor mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Multifactor mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Multifactor mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Multifactor Lagged Returns
When evaluating Multifactor's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Multifactor mutual fund have on its future price. Multifactor 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, Multifactor autocorrelation shows the relationship between Multifactor mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Multifactor Equity Fund.
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 Multifactor Mutual Fund
Multifactor financial ratios help investors to determine whether Multifactor 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 Multifactor with respect to the benefits of owning Multifactor security.
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