Sierra Tactical Municipal Fund Market Value
| STMEX Fund | USD 25.81 0.01 0.04% |
| Symbol | Sierra |
Sierra Tactical '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 Sierra Tactical'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 Sierra Tactical.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Sierra Tactical on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Sierra Tactical Municipal or generate 0.0% return on investment in Sierra Tactical over 30 days. Sierra Tactical is related to or competes with Baillie Gifford, Blackrock Health, Lord Abbett, Health Care, Invesco Global, and Eventide Healthcare. The fund invests in open-end investment companies and exchange-traded funds that primarily invest in tax-exempt municipa... More
Sierra Tactical 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 Sierra Tactical'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 Sierra Tactical Municipal upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3604 | |||
| Information Ratio | (0.49) | |||
| Maximum Drawdown | 1.52 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.3086 |
Sierra Tactical Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sierra Tactical's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sierra Tactical's standard deviation. In reality, there are many statistical measures that can use Sierra Tactical historical prices to predict the future Sierra Tactical's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | 2.0E-4 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.36) | |||
| Treynor Ratio | 0.1181 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sierra Tactical'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.
Sierra Tactical Municipal Backtested Returns
At this stage we consider Sierra Mutual Fund to be very steady. Sierra Tactical Municipal owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0103, which indicates the fund had a 0.0103% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Sierra Tactical Municipal, which you can use to evaluate the volatility of the fund. Please validate Sierra Tactical's Semi Deviation of 0.2875, coefficient of variation of 75556.87, and Risk Adjusted Performance of (0.02) to confirm if the risk estimate we provide is consistent with the expected return of 0.0028%. The entity has a beta of -0.0817, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sierra Tactical are expected to decrease at a much lower rate. During the bear market, Sierra Tactical is likely to outperform the market.
Auto-correlation | 0.48 |
Average predictability
Sierra Tactical Municipal has average predictability. Overlapping area represents the amount of predictability between Sierra Tactical time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Sierra Tactical Municipal price movement. The serial correlation of 0.48 indicates that about 48.0% of current Sierra Tactical price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Sierra Tactical Municipal lagged returns against current returns
Autocorrelation, which is Sierra Tactical 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 Sierra Tactical's mutual fund expected returns. We can calculate the autocorrelation of Sierra Tactical returns to help us make a trade decision. For example, suppose you find that Sierra Tactical 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 |
Sierra Tactical 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 Sierra Tactical mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sierra Tactical mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sierra Tactical mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Sierra Tactical Lagged Returns
When evaluating Sierra Tactical's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sierra Tactical mutual fund have on its future price. Sierra Tactical 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, Sierra Tactical autocorrelation shows the relationship between Sierra Tactical mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Sierra Tactical Municipal.
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 Sierra Mutual Fund
Sierra Tactical financial ratios help investors to determine whether Sierra 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 Sierra with respect to the benefits of owning Sierra Tactical security.
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