Wisdomtree Siegel Moderate Fund Market Value
| MODRX Fund | 11.09 0.07 0.63% |
| Symbol | Wisdomtree |
Wisdomtree Siegel '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 Wisdomtree Siegel'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 Wisdomtree Siegel.
| 01/27/2025 |
| 02/26/2025 |
If you would invest 0.00 in Wisdomtree Siegel on January 27, 2025 and sell it all today you would earn a total of 0.00 from holding Wisdomtree Siegel Moderate or generate 0.0% return on investment in Wisdomtree Siegel over 30 days.
Wisdomtree Siegel 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 Wisdomtree Siegel'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 Wisdomtree Siegel Moderate upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6131 | |||
| Information Ratio | 0.0086 | |||
| Maximum Drawdown | 2.45 | |||
| Value At Risk | (0.63) | |||
| Potential Upside | 0.555 |
Wisdomtree Siegel Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wisdomtree Siegel's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wisdomtree Siegel's standard deviation. In reality, there are many statistical measures that can use Wisdomtree Siegel historical prices to predict the future Wisdomtree Siegel's volatility.| Risk Adjusted Performance | 0.0241 | |||
| Jensen Alpha | 0.009 | |||
| Total Risk Alpha | 0.0058 | |||
| Sortino Ratio | 0.0065 | |||
| Treynor Ratio | (0.73) |
Wisdomtree Siegel Backtested Returns
Wisdomtree Siegel shows Sharpe Ratio of -0.0332, which attests that the fund had a -0.0332 % return per unit of risk over the last 3 months. Wisdomtree Siegel exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Wisdomtree Siegel's Mean Deviation of 0.3182, market risk adjusted performance of (0.72), and Downside Deviation of 0.6131 to validate the risk estimate we provide. The entity maintains a market beta of -0.0122, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Wisdomtree Siegel are expected to decrease at a much lower rate. During the bear market, Wisdomtree Siegel is likely to outperform the market.
Auto-correlation | -0.38 |
Poor reverse predictability
Wisdomtree Siegel Moderate has poor reverse predictability. Overlapping area represents the amount of predictability between Wisdomtree Siegel time series from 27th of January 2025 to 11th of February 2025 and 11th of February 2025 to 26th of February 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 Wisdomtree Siegel price movement. The serial correlation of -0.38 indicates that just about 38.0% of current Wisdomtree Siegel price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.38 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Wisdomtree Siegel lagged returns against current returns
Autocorrelation, which is Wisdomtree Siegel 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 Wisdomtree Siegel's mutual fund expected returns. We can calculate the autocorrelation of Wisdomtree Siegel returns to help us make a trade decision. For example, suppose you find that Wisdomtree Siegel 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 |
Wisdomtree Siegel 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 Wisdomtree Siegel mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wisdomtree Siegel mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wisdomtree Siegel mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Wisdomtree Siegel Lagged Returns
When evaluating Wisdomtree Siegel's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wisdomtree Siegel mutual fund have on its future price. Wisdomtree Siegel 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, Wisdomtree Siegel autocorrelation shows the relationship between Wisdomtree Siegel mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Wisdomtree Siegel Moderate.
Regressed Prices |
| Timeline |
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