Kfa Mount Lucas Etf Market Value
| KMLM Etf | USD 27.70 0.19 0.69% |
| Symbol | KFA |
The market value of KFA Mount Lucas is measured differently than its book value, which is the value of KFA that is recorded on the company's balance sheet. Investors also form their own opinion of KFA Mount's value that differs from its market value or its book value, called intrinsic value, which is KFA Mount's true underlying value. Investors use various methods to calculate intrinsic value and buy a stock when its market value falls below its intrinsic value. Because KFA Mount's market value can be influenced by many factors that don't directly affect KFA Mount's underlying business (such as a pandemic or basic market pessimism), market value can vary widely from intrinsic value.
Please note, there is a significant difference between KFA Mount's value and its price as these two are different measures arrived at by different means. Investors typically determine if KFA Mount is a good investment by looking at such factors as earnings, sales, fundamental and technical indicators, competition as well as analyst projections. However, KFA Mount's price is the amount at which it trades on the open market and represents the number that a seller and buyer find agreeable to each party.
KFA Mount '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 KFA Mount's etf 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 KFA Mount.
| 12/09/2023 |
| 12/03/2024 |
If you would invest 0.00 in KFA Mount on December 9, 2023 and sell it all today you would earn a total of 0.00 from holding KFA Mount Lucas or generate 0.0% return on investment in KFA Mount over 360 days. KFA Mount is related to or competes with First Trust, Simplify Exchange, and WisdomTree Managed. The fund seeks to achieve its goal by investing in commodity, currency, and global fixed income futures contracts traded... More
KFA Mount 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 KFA Mount's etf 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 KFA Mount Lucas upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.28) | |||
| Maximum Drawdown | 3.36 | |||
| Value At Risk | (1.17) | |||
| Potential Upside | 1.32 |
KFA Mount Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for KFA Mount's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as KFA Mount's standard deviation. In reality, there are many statistical measures that can use KFA Mount historical prices to predict the future KFA Mount's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | (2.23) |
KFA Mount Lucas Backtested Returns
KFA Mount Lucas retains Efficiency (Sharpe Ratio) of -0.13, which conveys that the entity had a -0.13% return per unit of return volatility over the last 3 months. KFA Mount exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify KFA Mount's Mean Deviation of 0.5655, market risk adjusted performance of (2.22), and Standard Deviation of 0.7245 to check out the risk estimate we provide. The etf owns a Beta (Systematic Risk) of 0.0385, which conveys not very significant fluctuations relative to the market. As returns on the market increase, KFA Mount's returns are expected to increase less than the market. However, during the bear market, the loss of holding KFA Mount is expected to be smaller as well.
Auto-correlation | -0.46 |
Modest reverse predictability
KFA Mount Lucas has modest reverse predictability. Overlapping area represents the amount of predictability between KFA Mount time series from 9th of December 2023 to 6th of June 2024 and 6th of June 2024 to 3rd 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 KFA Mount Lucas price movement. The serial correlation of -0.46 indicates that about 46.0% of current KFA Mount price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.46 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.53 |
KFA Mount Lucas lagged returns against current returns
Autocorrelation, which is KFA Mount etf'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 KFA Mount's etf expected returns. We can calculate the autocorrelation of KFA Mount returns to help us make a trade decision. For example, suppose you find that KFA Mount has exhibited high autocorrelation historically, and you observe that the etf 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 |
KFA Mount 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 KFA Mount etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if KFA Mount etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in KFA Mount etf over time.
Current vs Lagged Prices |
| Timeline |
KFA Mount Lagged Returns
When evaluating KFA Mount's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of KFA Mount etf have on its future price. KFA Mount 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, KFA Mount autocorrelation shows the relationship between KFA Mount etf current value and its past values and can show if there is a momentum factor associated with investing in KFA Mount Lucas.
Regressed Prices |
| Timeline |
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KFA Mount technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.