Massachusetts Investors Trust Fund Market Value
| MITGX Fund | USD 37.47 0.21 0.56% |
| Symbol | Massachusetts |
Massachusetts Investors '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 Massachusetts Investors' 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 Massachusetts Investors.
| 11/16/2024 |
| 12/16/2024 |
If you would invest 0.00 in Massachusetts Investors on November 16, 2024 and sell it all today you would earn a total of 0.00 from holding Massachusetts Investors Trust or generate 0.0% return on investment in Massachusetts Investors over 30 days. Massachusetts Investors is related to or competes with Virtus Real, Deutsche Real, Guggenheim Risk, Fidelity Real, Tiaa Cref, and Short Real. The fund normally invests the funds assets primarily in equity securities More
Massachusetts Investors 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 Massachusetts Investors' 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 Massachusetts Investors Trust upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.519 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 3.52 | |||
| Value At Risk | (0.79) | |||
| Potential Upside | 0.8401 |
Massachusetts Investors Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Massachusetts Investors' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Massachusetts Investors' standard deviation. In reality, there are many statistical measures that can use Massachusetts Investors historical prices to predict the future Massachusetts Investors' volatility.| Risk Adjusted Performance | 0.1054 | |||
| Jensen Alpha | 0.0153 | |||
| Total Risk Alpha | 0.0042 | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1126 |
Massachusetts Investors Backtested Returns
At this stage we consider Massachusetts Mutual Fund to be very steady. Massachusetts Investors has Sharpe Ratio of 0.13, which conveys that the entity had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Massachusetts Investors, which you can use to evaluate the volatility of the fund. Please verify Massachusetts Investors' Risk Adjusted Performance of 0.1054, downside deviation of 0.519, and Mean Deviation of 0.4271 to check out if the risk estimate we provide is consistent with the expected return of 0.0786%. The fund secures a Beta (Market Risk) of 0.68, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Massachusetts Investors' returns are expected to increase less than the market. However, during the bear market, the loss of holding Massachusetts Investors is expected to be smaller as well.
Auto-correlation | -0.64 |
Very good reverse predictability
Massachusetts Investors Trust has very good reverse predictability. Overlapping area represents the amount of predictability between Massachusetts Investors time series from 16th of November 2024 to 1st of December 2024 and 1st of December 2024 to 16th 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 Massachusetts Investors price movement. The serial correlation of -0.64 indicates that roughly 64.0% of current Massachusetts Investors price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.64 | |
| Spearman Rank Test | -0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Massachusetts Investors lagged returns against current returns
Autocorrelation, which is Massachusetts Investors 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 Massachusetts Investors' mutual fund expected returns. We can calculate the autocorrelation of Massachusetts Investors returns to help us make a trade decision. For example, suppose you find that Massachusetts Investors 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 |
Massachusetts Investors 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 Massachusetts Investors mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Massachusetts Investors mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Massachusetts Investors mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Massachusetts Investors Lagged Returns
When evaluating Massachusetts Investors' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Massachusetts Investors mutual fund have on its future price. Massachusetts Investors 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, Massachusetts Investors autocorrelation shows the relationship between Massachusetts Investors mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Massachusetts Investors Trust.
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 Massachusetts Mutual Fund
Massachusetts Investors financial ratios help investors to determine whether Massachusetts 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 Massachusetts with respect to the benefits of owning Massachusetts Investors security.
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