Federated Max Cap Index Fund Market Value
| FMXSX Fund | USD 8.56 0.03 0.35% |
| Symbol | Federated |
Federated Max-cap '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 Federated Max-cap'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 Federated Max-cap.
| 12/13/2022 |
| 12/02/2024 |
If you would invest 0.00 in Federated Max-cap on December 13, 2022 and sell it all today you would earn a total of 0.00 from holding Federated Max Cap Index or generate 0.0% return on investment in Federated Max-cap over 720 days. Federated Max-cap is related to or competes with Ab Global, Nuveen High, Artisan High, Needham Aggressive, Calvert High, and Gmo High. The fund invests its assets primarily in common stocks included in the Standard Poors 500 Index More
Federated Max-cap 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 Federated Max-cap'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 Federated Max Cap Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8643 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.84 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.17 |
Federated Max-cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Federated Max-cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Federated Max-cap's standard deviation. In reality, there are many statistical measures that can use Federated Max-cap historical prices to predict the future Federated Max-cap's volatility.| Risk Adjusted Performance | 0.1136 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1244 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Federated Max-cap'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.
Federated Max Cap Backtested Returns
At this stage we consider Federated Mutual Fund to be very steady. Federated Max Cap secures Sharpe Ratio (or Efficiency) of 0.19, which denotes the fund had a 0.19% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Federated Max Cap Index, which you can use to evaluate the volatility of the entity. Please confirm Federated Max-cap's Coefficient Of Variation of 672.65, downside deviation of 0.8643, and Mean Deviation of 0.5379 to check if the risk estimate we provide is consistent with the expected return of 0.13%. The fund shows a Beta (market volatility) of 0.83, which means possible diversification benefits within a given portfolio. As returns on the market increase, Federated Max-cap's returns are expected to increase less than the market. However, during the bear market, the loss of holding Federated Max-cap is expected to be smaller as well.
Auto-correlation | 0.80 |
Very good predictability
Federated Max Cap Index has very good predictability. Overlapping area represents the amount of predictability between Federated Max-cap time series from 13th of December 2022 to 8th of December 2023 and 8th of December 2023 to 2nd 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 Federated Max Cap price movement. The serial correlation of 0.8 indicates that around 80.0% of current Federated Max-cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.8 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.27 |
Federated Max Cap lagged returns against current returns
Autocorrelation, which is Federated Max-cap 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 Federated Max-cap's mutual fund expected returns. We can calculate the autocorrelation of Federated Max-cap returns to help us make a trade decision. For example, suppose you find that Federated Max-cap 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 |
Federated Max-cap 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 Federated Max-cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Federated Max-cap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Federated Max-cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Federated Max-cap Lagged Returns
When evaluating Federated Max-cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Federated Max-cap mutual fund have on its future price. Federated Max-cap 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, Federated Max-cap autocorrelation shows the relationship between Federated Max-cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Federated Max Cap Index.
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 Federated Mutual Fund
Federated Max-cap financial ratios help investors to determine whether Federated 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 Federated with respect to the benefits of owning Federated Max-cap security.
| Options Analysis Analyze and evaluate options and option chains as a potential hedge for your portfolios | |
| Equity Valuation Check real value of public entities based on technical and fundamental data | |
| Aroon Oscillator Analyze current equity momentum using Aroon Oscillator and other momentum ratios |