Mid Cap Value Fund Market Value
| AMVYX Fund | USD 15.43 0.13 0.84% |
| Symbol | Mid |
Mid Cap '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 Mid Cap'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 Mid Cap.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Mid Cap on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Mid Cap Value or generate 0.0% return on investment in Mid Cap over 30 days. Mid Cap is related to or competes with Prudential Jennison, Prudential Jennison, Prudential Jennison, Prudential Total, and Prudential Qma. Under normal market conditions, the portfolio managers will invest at least 80 percent of the funds net assets in medium... More
Mid Cap 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 Mid Cap'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 Mid Cap Value upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 3.56 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 0.9785 |
Mid Cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mid Cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mid Cap's standard deviation. In reality, there are many statistical measures that can use Mid Cap historical prices to predict the future Mid Cap's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.06) | |||
| Treynor Ratio | (0.02) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mid Cap'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.
Mid Cap Value Backtested Returns
We consider Mid Cap very steady. Mid Cap Value has Sharpe Ratio of 0.0139, which conveys that the entity had a 0.0139% return per unit of risk over the last 3 months. We have found twenty-one technical indicators for Mid Cap, which you can use to evaluate the volatility of the fund. Please verify Mid Cap's Risk Adjusted Performance of (0), mean deviation of 0.5255, and Standard Deviation of 0.6851 to check out if the risk estimate we provide is consistent with the expected return of 0.0095%. The fund secures a Beta (Market Risk) of 0.92, which conveys possible diversification benefits within a given portfolio. Mid Cap returns are very sensitive to returns on the market. As the market goes up or down, Mid Cap is expected to follow.
Auto-correlation | -0.72 |
Almost perfect reverse predictability
Mid Cap Value has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Mid Cap time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Mid Cap Value price movement. The serial correlation of -0.72 indicates that around 72.0% of current Mid Cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.72 | |
| Spearman Rank Test | -0.86 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Mid Cap Value lagged returns against current returns
Autocorrelation, which is Mid Cap 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 Mid Cap's mutual fund expected returns. We can calculate the autocorrelation of Mid Cap returns to help us make a trade decision. For example, suppose you find that Mid Cap 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 |
Mid Cap 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 Mid Cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mid Cap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mid Cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mid Cap Lagged Returns
When evaluating Mid Cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mid Cap mutual fund have on its future price. Mid Cap 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, Mid Cap autocorrelation shows the relationship between Mid Cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mid Cap Value.
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 Mid Cap 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, Mid Cap's short interest history, or implied volatility extrapolated from Mid Cap options trading.
Pair Trading with Mid Cap
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 Mid Cap 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 Mid Cap will appreciate offsetting losses from the drop in the long position's value.Moving together with Mid Mutual Fund
| 0.92 | AMDVX | Mid Cap Value | PairCorr |
| 0.84 | AMEIX | Equity Growth | PairCorr |
| 0.92 | AMGIX | Income Growth | PairCorr |
The ability to find closely correlated positions to Mid Cap could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mid Cap 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 Mid Cap - 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 Mid Cap Value to buy it.
The correlation of Mid Cap 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 Mid Cap moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mid Cap Value 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 Mid Cap 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 Mid Cap Correlation, Mid Cap Volatility and Mid Cap Alpha and Beta module to complement your research on Mid Cap. You can also try the ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
Mid Cap 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.