Wasatch Longshort Alpha Fund Market Value
| WALSX Fund | USD 15.31 0.01 0.07% |
| Symbol | Wasatch |
Wasatch Long/short '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 Wasatch Long/short'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 Wasatch Long/short.
| 06/09/2023 |
| 11/30/2024 |
If you would invest 0.00 in Wasatch Long/short on June 9, 2023 and sell it all today you would earn a total of 0.00 from holding Wasatch Longshort Alpha or generate 0.0% return on investment in Wasatch Long/short over 540 days. Wasatch Long/short is related to or competes with Strategic Allocation:, Federated Institutional, T Rowe, Pioneer High, Pace High, and Franklin High. The fund adviser seeks to provide higher risk-adjusted returns with lower volatility compared to domestic equity markets More
Wasatch Long/short 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 Wasatch Long/short'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 Wasatch Longshort Alpha upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7911 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 6.07 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 0.9628 |
Wasatch Long/short Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wasatch Long/short's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wasatch Long/short's standard deviation. In reality, there are many statistical measures that can use Wasatch Long/short historical prices to predict the future Wasatch Long/short's volatility.| Risk Adjusted Performance | 0.0386 | |||
| Jensen Alpha | 0.0217 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.12) | |||
| Treynor Ratio | 0.4035 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wasatch Long/short'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.
Wasatch Longshort Alpha Backtested Returns
At this stage we consider Wasatch Mutual Fund to be very steady. Wasatch Longshort Alpha shows Sharpe Ratio of 0.0492, which attests that the fund had a 0.0492% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Wasatch Longshort Alpha, which you can use to evaluate the volatility of the fund. Please check out Wasatch Long/short's Mean Deviation of 0.5593, market risk adjusted performance of 0.4135, and Downside Deviation of 0.7911 to validate if the risk estimate we provide is consistent with the expected return of 0.0418%. The entity maintains a market beta of 0.0787, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Wasatch Long/short's returns are expected to increase less than the market. However, during the bear market, the loss of holding Wasatch Long/short is expected to be smaller as well.
Auto-correlation | 0.78 |
Good predictability
Wasatch Longshort Alpha has good predictability. Overlapping area represents the amount of predictability between Wasatch Long/short time series from 9th of June 2023 to 5th of March 2024 and 5th of March 2024 to 30th 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 Wasatch Longshort Alpha price movement. The serial correlation of 0.78 indicates that around 78.0% of current Wasatch Long/short price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
Wasatch Longshort Alpha lagged returns against current returns
Autocorrelation, which is Wasatch Long/short 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 Wasatch Long/short's mutual fund expected returns. We can calculate the autocorrelation of Wasatch Long/short returns to help us make a trade decision. For example, suppose you find that Wasatch Long/short 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 |
Wasatch Long/short 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 Wasatch Long/short mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wasatch Long/short mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wasatch Long/short mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Wasatch Long/short Lagged Returns
When evaluating Wasatch Long/short's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wasatch Long/short mutual fund have on its future price. Wasatch Long/short 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, Wasatch Long/short autocorrelation shows the relationship between Wasatch Long/short mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Wasatch Longshort Alpha.
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 Wasatch Mutual Fund
Wasatch Long/short financial ratios help investors to determine whether Wasatch 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 Wasatch with respect to the benefits of owning Wasatch Long/short security.
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| Sync Your Broker Sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors. | |
| USA ETFs Find actively traded Exchange Traded Funds (ETF) in USA | |
| Funds Screener Find actively-traded funds from around the world traded on over 30 global exchanges |