Disciplined Value Series Fund Market Value
| MDFSX Fund | USD 8.86 0.02 0.23% |
| Symbol | Disciplined |
Disciplined Value '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 Disciplined Value'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 Disciplined Value.
| 12/08/2023 |
| 12/02/2024 |
If you would invest 0.00 in Disciplined Value on December 8, 2023 and sell it all today you would earn a total of 0.00 from holding Disciplined Value Series or generate 0.0% return on investment in Disciplined Value over 360 days. Disciplined Value is related to or competes with Blackrock Capital, Blackrock Value, Blackrock Basic, Mainstay Short, and Blackrock Bal. The fund invests at least 80 percent of its assets in dividend-paying common stocks More
Disciplined Value 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 Disciplined Value'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 Disciplined Value Series upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6431 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 4.52 | |||
| Value At Risk | (0.97) | |||
| Potential Upside | 1.16 |
Disciplined Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Disciplined Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Disciplined Value's standard deviation. In reality, there are many statistical measures that can use Disciplined Value historical prices to predict the future Disciplined Value's volatility.| Risk Adjusted Performance | 0.1067 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.1079 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Disciplined Value'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.
Disciplined Value Series Backtested Returns
At this stage we consider Disciplined Mutual Fund to be very steady. Disciplined Value Series secures Sharpe Ratio (or Efficiency) of 0.14, which denotes the fund had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Disciplined Value Series, which you can use to evaluate the volatility of the entity. Please confirm Disciplined Value's Downside Deviation of 0.6431, coefficient of variation of 718.46, and Mean Deviation of 0.5908 to check if the risk estimate we provide is consistent with the expected return of 0.11%. The fund shows a Beta (market volatility) of 0.92, which means possible diversification benefits within a given portfolio. Disciplined Value returns are very sensitive to returns on the market. As the market goes up or down, Disciplined Value is expected to follow.
Auto-correlation | 0.78 |
Good predictability
Disciplined Value Series has good predictability. Overlapping area represents the amount of predictability between Disciplined Value time series from 8th of December 2023 to 5th of June 2024 and 5th of June 2024 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 Disciplined Value Series price movement. The serial correlation of 0.78 indicates that around 78.0% of current Disciplined Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.78 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Disciplined Value Series lagged returns against current returns
Autocorrelation, which is Disciplined Value 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 Disciplined Value's mutual fund expected returns. We can calculate the autocorrelation of Disciplined Value returns to help us make a trade decision. For example, suppose you find that Disciplined Value 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 |
Disciplined Value 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 Disciplined Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Disciplined Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Disciplined Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Disciplined Value Lagged Returns
When evaluating Disciplined Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Disciplined Value mutual fund have on its future price. Disciplined Value 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, Disciplined Value autocorrelation shows the relationship between Disciplined Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Disciplined Value Series.
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 Disciplined Mutual Fund
Disciplined Value financial ratios help investors to determine whether Disciplined 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 Disciplined with respect to the benefits of owning Disciplined Value security.
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