Blackrock Systematic Multi Strategy Fund Market Value
| BKMBX Fund | USD 10.09 0.03 0.30% |
| Symbol | Blackrock |
Blackrock Systematic '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 Blackrock Systematic'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 Blackrock Systematic.
| 11/06/2024 |
| 01/05/2025 |
If you would invest 0.00 in Blackrock Systematic on November 6, 2024 and sell it all today you would earn a total of 0.00 from holding Blackrock Systematic Multi Strategy or generate 0.0% return on investment in Blackrock Systematic over 60 days. Blackrock Systematic is related to or competes with Aston/crosswind Small, Arrow Managed, Scharf Global, Qs Us, and Rbb Fund. The fund seeks to achieve its investment objective by investing in a range of global asset classes, with a focus on fixe... More
Blackrock Systematic 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 Blackrock Systematic'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 Blackrock Systematic Multi Strategy upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.19) | |||
| Maximum Drawdown | 4.47 | |||
| Value At Risk | (0.37) | |||
| Potential Upside | 0.3781 |
Blackrock Systematic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Systematic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Systematic's standard deviation. In reality, there are many statistical measures that can use Blackrock Systematic historical prices to predict the future Blackrock Systematic's volatility.| Risk Adjusted Performance | (0.13) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.10) | |||
| Treynor Ratio | (0.61) |
Blackrock Systematic Backtested Returns
Blackrock Systematic secures Sharpe Ratio (or Efficiency) of -0.15, which signifies that the fund had a -0.15% return per unit of standard deviation over the last 3 months. Blackrock Systematic Multi Strategy exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Blackrock Systematic's risk adjusted performance of (0.13), and Mean Deviation of 0.2321 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Blackrock Systematic's returns are expected to increase less than the market. However, during the bear market, the loss of holding Blackrock Systematic is expected to be smaller as well.
Auto-correlation | -0.84 |
Excellent reverse predictability
Blackrock Systematic Multi Strategy has excellent reverse predictability. Overlapping area represents the amount of predictability between Blackrock Systematic time series from 6th of November 2024 to 6th of December 2024 and 6th of December 2024 to 5th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Blackrock Systematic price movement. The serial correlation of -0.84 indicates that around 84.0% of current Blackrock Systematic price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.84 | |
| Spearman Rank Test | -0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Blackrock Systematic lagged returns against current returns
Autocorrelation, which is Blackrock Systematic 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 Blackrock Systematic's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Systematic returns to help us make a trade decision. For example, suppose you find that Blackrock Systematic 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 |
Blackrock Systematic 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 Blackrock Systematic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock Systematic mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Blackrock Systematic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Systematic Lagged Returns
When evaluating Blackrock Systematic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Systematic mutual fund have on its future price. Blackrock Systematic 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, Blackrock Systematic autocorrelation shows the relationship between Blackrock Systematic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Systematic Multi Strategy.
Regressed Prices |
| Timeline |
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Other Information on Investing in Blackrock Mutual Fund
Blackrock Systematic financial ratios help investors to determine whether Blackrock 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 Blackrock with respect to the benefits of owning Blackrock Systematic security.
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