Catalystmillburn Dynamic Commodity Fund Market Value
| DCXCX Fund | USD 8.39 0.03 0.36% |
| Symbol | Catalystmillburn |
Catalystmillburn '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 Catalystmillburn'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 Catalystmillburn.
| 07/02/2024 |
| 12/29/2024 |
If you would invest 0.00 in Catalystmillburn on July 2, 2024 and sell it all today you would earn a total of 0.00 from holding Catalystmillburn Dynamic Commodity or generate 0.0% return on investment in Catalystmillburn over 180 days. Catalystmillburn is related to or competes with Catalystsmh High, Catalystsmh High, Catalystsmh High, Catalyst Mlp, Catalyst Mlp, Catalyst Mlp, and Catalystwarrington. The fund seeks to achieve its investment objective by investing in a portfolio comprised of exposures to futures and opt... More
Catalystmillburn 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 Catalystmillburn'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 Catalystmillburn Dynamic Commodity upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 6.63 | |||
| Value At Risk | (1.54) | |||
| Potential Upside | 1.1 |
Catalystmillburn Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Catalystmillburn's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Catalystmillburn's standard deviation. In reality, there are many statistical measures that can use Catalystmillburn historical prices to predict the future Catalystmillburn's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | (0.59) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Catalystmillburn'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.
Catalystmillburn Dyn Backtested Returns
Catalystmillburn Dyn secures Sharpe Ratio (or Efficiency) of -0.14, which signifies that the fund had a -0.14% return per unit of risk over the last 3 months. Catalystmillburn Dynamic Commodity exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Catalystmillburn's Standard Deviation of 0.948, mean deviation of 0.6295, and Risk Adjusted Performance of (0.09) to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Catalystmillburn's returns are expected to increase less than the market. However, during the bear market, the loss of holding Catalystmillburn is expected to be smaller as well.
Auto-correlation | -0.06 |
Very weak reverse predictability
Catalystmillburn Dynamic Commodity has very weak reverse predictability. Overlapping area represents the amount of predictability between Catalystmillburn time series from 2nd of July 2024 to 30th of September 2024 and 30th of September 2024 to 29th 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 Catalystmillburn Dyn price movement. The serial correlation of -0.06 indicates that barely 6.0% of current Catalystmillburn price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.06 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Catalystmillburn Dyn lagged returns against current returns
Autocorrelation, which is Catalystmillburn 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 Catalystmillburn's mutual fund expected returns. We can calculate the autocorrelation of Catalystmillburn returns to help us make a trade decision. For example, suppose you find that Catalystmillburn 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 |
Catalystmillburn 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 Catalystmillburn mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Catalystmillburn mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Catalystmillburn mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Catalystmillburn Lagged Returns
When evaluating Catalystmillburn's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Catalystmillburn mutual fund have on its future price. Catalystmillburn 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, Catalystmillburn autocorrelation shows the relationship between Catalystmillburn mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Catalystmillburn Dynamic Commodity.
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 Catalystmillburn Mutual Fund
Catalystmillburn financial ratios help investors to determine whether Catalystmillburn 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 Catalystmillburn with respect to the benefits of owning Catalystmillburn security.
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments |