Sarofim Equity Fund Market Value
| SRFMX Fund | USD 13.72 0.25 1.86% |
| Symbol | Sarofim |
Sarofim Equity '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 Sarofim Equity'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 Sarofim Equity.
| 12/15/2024 |
| 03/15/2025 |
If you would invest 0.00 in Sarofim Equity on December 15, 2024 and sell it all today you would earn a total of 0.00 from holding Sarofim Equity or generate 0.0% return on investment in Sarofim Equity over 90 days. Sarofim Equity is related to or competes with Barings Global, Franklin Mutual, Ab Global, Aqr Global, Nuveen Global, Rbb Fund, and Ab Global. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
Sarofim Equity 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 Sarofim Equity'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 Sarofim Equity upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 15.26 | |||
| Value At Risk | (1.74) | |||
| Potential Upside | 1.34 |
Sarofim Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sarofim Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sarofim Equity's standard deviation. In reality, there are many statistical measures that can use Sarofim Equity historical prices to predict the future Sarofim Equity's volatility.| Risk Adjusted Performance | (0.14) | |||
| Jensen Alpha | (0.29) | |||
| Total Risk Alpha | (0.09) | |||
| Treynor Ratio | (0.72) |
Sarofim Equity Backtested Returns
Sarofim Equity owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.17, which indicates the fund had a -0.17 % return per unit of risk over the last 3 months. Sarofim Equity exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sarofim Equity's Coefficient Of Variation of (606.15), risk adjusted performance of (0.14), and Variance of 3.97 to confirm the risk estimate we provide. The entity has a beta of 0.47, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Sarofim Equity's returns are expected to increase less than the market. However, during the bear market, the loss of holding Sarofim Equity is expected to be smaller as well.
Auto-correlation | 0.10 |
Insignificant predictability
Sarofim Equity has insignificant predictability. Overlapping area represents the amount of predictability between Sarofim Equity time series from 15th of December 2024 to 29th of January 2025 and 29th of January 2025 to 15th of March 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 Sarofim Equity price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Sarofim Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Sarofim Equity lagged returns against current returns
Autocorrelation, which is Sarofim Equity 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 Sarofim Equity's mutual fund expected returns. We can calculate the autocorrelation of Sarofim Equity returns to help us make a trade decision. For example, suppose you find that Sarofim Equity 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 |
Sarofim Equity 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 Sarofim Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sarofim Equity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sarofim Equity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Sarofim Equity Lagged Returns
When evaluating Sarofim Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sarofim Equity mutual fund have on its future price. Sarofim Equity 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, Sarofim Equity autocorrelation shows the relationship between Sarofim Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Sarofim Equity.
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 Sarofim Mutual Fund
Sarofim Equity financial ratios help investors to determine whether Sarofim 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 Sarofim with respect to the benefits of owning Sarofim Equity security.
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