Campbell Systematic Macro Fund Market Value
| EBSAX Fund | USD 9.81 0.06 0.62% |
| Symbol | Campbell |
Campbell 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 Campbell 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 Campbell Systematic.
| 01/21/2023 |
| 01/10/2025 |
If you would invest 0.00 in Campbell Systematic on January 21, 2023 and sell it all today you would earn a total of 0.00 from holding Campbell Systematic Macro or generate 0.0% return on investment in Campbell Systematic over 720 days. Campbell Systematic is related to or competes with Chartwell Short, Nuveen Short, Siit Ultra, Touchstone Ultra, Delaware Investments, Short-term Bond, and Fidelity Flex. The fund pursues its investment objective by investing its assets pursuant to the Campbell Systematic Macro Program allo... More
Campbell 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 Campbell 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 Campbell Systematic Macro upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5353 | |||
| Information Ratio | 0.1289 | |||
| Maximum Drawdown | 2.82 | |||
| Value At Risk | (0.75) | |||
| Potential Upside | 0.9317 |
Campbell Systematic Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Campbell Systematic's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Campbell Systematic's standard deviation. In reality, there are many statistical measures that can use Campbell Systematic historical prices to predict the future Campbell Systematic's volatility.| Risk Adjusted Performance | 0.1392 | |||
| Jensen Alpha | 0.0871 | |||
| Total Risk Alpha | 0.0738 | |||
| Sortino Ratio | 0.1268 | |||
| Treynor Ratio | (0.85) |
Campbell Systematic Macro Backtested Returns
At this stage we consider Campbell Mutual Fund to be very steady. Campbell Systematic Macro secures Sharpe Ratio (or Efficiency) of 0.13, which signifies that the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Campbell Systematic Macro, which you can use to evaluate the volatility of the entity. Please confirm Campbell Systematic's Risk Adjusted Performance of 0.1392, mean deviation of 0.4088, and Downside Deviation of 0.5353 to double-check if the risk estimate we provide is consistent with the expected return of 0.0697%. The fund shows a Beta (market volatility) of -0.1, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Campbell Systematic are expected to decrease at a much lower rate. During the bear market, Campbell Systematic is likely to outperform the market.
Auto-correlation | -0.39 |
Poor reverse predictability
Campbell Systematic Macro has poor reverse predictability. Overlapping area represents the amount of predictability between Campbell Systematic time series from 21st of January 2023 to 16th of January 2024 and 16th of January 2024 to 10th 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 Campbell Systematic Macro price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Campbell Systematic price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Campbell Systematic Macro lagged returns against current returns
Autocorrelation, which is Campbell 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 Campbell Systematic's mutual fund expected returns. We can calculate the autocorrelation of Campbell Systematic returns to help us make a trade decision. For example, suppose you find that Campbell 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 |
Campbell 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 Campbell Systematic mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Campbell 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 Campbell Systematic mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Campbell Systematic Lagged Returns
When evaluating Campbell Systematic's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Campbell Systematic mutual fund have on its future price. Campbell 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, Campbell Systematic autocorrelation shows the relationship between Campbell Systematic mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Campbell Systematic Macro.
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.| BTC | Bitcoin | |
| TRX | TRON | |
| BNB | Binance Coin |
Other Information on Investing in Campbell Mutual Fund
Campbell Systematic financial ratios help investors to determine whether Campbell 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 Campbell with respect to the benefits of owning Campbell Systematic security.
| Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
| Pair Correlation Compare performance and examine fundamental relationship between any two equity instruments | |
| Share Portfolio Track or share privately all of your investments from the convenience of any device | |
| Bollinger Bands Use Bollinger Bands indicator to analyze target price for a given investing horizon |