Managed Volatility Fund Market Value
| BRBPX Fund | USD 10.85 0.00 0.00% |
| Symbol | Managed |
Managed Volatility '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 Managed Volatility'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 Managed Volatility.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Managed Volatility on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Managed Volatility Fund or generate 0.0% return on investment in Managed Volatility over 30 days. Managed Volatility is related to or competes with Aggressive Investors, Ultra-small Company, Small-cap Value, Ultra-small Company, and Omni Small-cap. Up to 75 percent of its total assets may be invested in common stocks and options on any size companies on which options... More
Managed Volatility 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 Managed Volatility'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 Managed Volatility Fund upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 36.29 | |||
| Potential Upside | 0.0927 |
Managed Volatility Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Managed Volatility's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Managed Volatility's standard deviation. In reality, there are many statistical measures that can use Managed Volatility historical prices to predict the future Managed Volatility's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.71) | |||
| Total Risk Alpha | (1.15) | |||
| Treynor Ratio | (0.35) |
Managed Volatility Backtested Returns
At this stage we consider Managed Mutual Fund to be very steady. Managed Volatility has Sharpe Ratio of 0.38, which conveys that the entity had a 0.38% return per unit of risk over the last 3 months. We have found eighteen technical indicators for Managed Volatility, which you can use to evaluate the volatility of the fund. Please verify Managed Volatility's Mean Deviation of 1.08, risk adjusted performance of (0.08), and Standard Deviation of 4.47 to check out if the risk estimate we provide is consistent with the expected return of 0.0118%. The fund secures a Beta (Market Risk) of 1.55, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Managed Volatility will likely underperform.
Auto-correlation | 0.00 |
No correlation between past and present
Managed Volatility Fund has no correlation between past and present. Overlapping area represents the amount of predictability between Managed Volatility time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 Managed Volatility price movement. The serial correlation of 0.0 indicates that just 0.0% of current Managed Volatility price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.0 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Managed Volatility lagged returns against current returns
Autocorrelation, which is Managed Volatility 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 Managed Volatility's mutual fund expected returns. We can calculate the autocorrelation of Managed Volatility returns to help us make a trade decision. For example, suppose you find that Managed Volatility 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 |
Managed Volatility 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 Managed Volatility mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Managed Volatility mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Managed Volatility mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Managed Volatility Lagged Returns
When evaluating Managed Volatility's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Managed Volatility mutual fund have on its future price. Managed Volatility 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, Managed Volatility autocorrelation shows the relationship between Managed Volatility mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Managed Volatility 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 Managed Mutual Fund
Managed Volatility financial ratios help investors to determine whether Managed 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 Managed with respect to the benefits of owning Managed Volatility security.
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