Aama Equity Fund Market Value
| AMFEX Fund | USD 17.55 0.03 0.17% |
| Symbol | Aama |
Aama 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 Aama 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 Aama Equity.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Aama Equity on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Aama Equity Fund or generate 0.0% return on investment in Aama Equity over 30 days. Aama Equity is related to or competes with Aama Income, Materials Portfolio, Vanguard Energy, Morningstar Alternatives, American Funds, Vanguard 500, and Semiconductors Portfolio. The fund, under normal market circumstances, will invest at least 80 percent of its net assets in equity securities of a... More
Aama 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 Aama 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 Aama Equity Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6344 | |||
| Information Ratio | 0.0125 | |||
| Maximum Drawdown | 2.65 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 0.9621 |
Aama Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aama Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aama Equity's standard deviation. In reality, there are many statistical measures that can use Aama Equity historical prices to predict the future Aama Equity's volatility.| Risk Adjusted Performance | 0.0777 | |||
| Jensen Alpha | 0.0161 | |||
| Total Risk Alpha | 0.0089 | |||
| Sortino Ratio | 0.0119 | |||
| Treynor Ratio | 0.0775 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aama Equity'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.
Aama Equity Fund Backtested Returns
We consider Aama Equity very steady. Aama Equity Fund secures Sharpe Ratio (or Efficiency) of 0.0888, which signifies that the fund had a 0.0888% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Aama Equity Fund, which you can use to evaluate the volatility of the entity. Please confirm Aama Equity's Downside Deviation of 0.6344, risk adjusted performance of 0.0777, and Mean Deviation of 0.4827 to double-check if the risk estimate we provide is consistent with the expected return of 0.0523%. The fund shows a Beta (market volatility) of 0.85, which signifies possible diversification benefits within a given portfolio. Aama Equity returns are very sensitive to returns on the market. As the market goes up or down, Aama Equity is expected to follow.
Auto-correlation | 0.13 |
Insignificant predictability
Aama Equity Fund has insignificant predictability. Overlapping area represents the amount of predictability between Aama Equity time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 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 Aama Equity Fund price movement. The serial correlation of 0.13 indicates that less than 13.0% of current Aama Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.13 | |
| Spearman Rank Test | -0.26 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Aama Equity Fund lagged returns against current returns
Autocorrelation, which is Aama 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 Aama Equity's mutual fund expected returns. We can calculate the autocorrelation of Aama Equity returns to help us make a trade decision. For example, suppose you find that Aama 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 |
Aama 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 Aama Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aama 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 Aama Equity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Aama Equity Lagged Returns
When evaluating Aama Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aama Equity mutual fund have on its future price. Aama 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, Aama Equity autocorrelation shows the relationship between Aama Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Aama Equity Fund.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Aama Equity in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Aama Equity's short interest history, or implied volatility extrapolated from Aama Equity options trading.
Pair Trading with Aama Equity
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Aama Equity position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Aama Equity will appreciate offsetting losses from the drop in the long position's value.Moving together with Aama Mutual Fund
| 0.99 | VTSAX | Vanguard Total Stock | PairCorr |
| 0.99 | VFIAX | Vanguard 500 Index | PairCorr |
| 0.99 | VTSMX | Vanguard Total Stock | PairCorr |
| 0.99 | VITSX | Vanguard Total Stock | PairCorr |
The ability to find closely correlated positions to Aama Equity could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Aama Equity when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Aama Equity - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Aama Equity Fund to buy it.
The correlation of Aama Equity is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Aama Equity moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Aama Equity Fund moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Aama Equity can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Aama Equity Correlation, Aama Equity Volatility and Aama Equity Alpha and Beta module to complement your research on Aama Equity. Note that the Aama Equity Fund information on this page should be used as a complementary analysis to other Aama Equity's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Fundamental Analysis module to view fundamental data based on most recent published financial statements.
Aama Equity technical mutual fund 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, fund market cycles, or different charting patterns.