Ultra Fund R5 Fund Market Value
| AULGX Fund | USD 84.33 0.05 0.06% |
| Symbol | Ultra |
Ultra Fund '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 Ultra Fund'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 Ultra Fund.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Ultra Fund on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Ultra Fund R5 or generate 0.0% return on investment in Ultra Fund over 30 days. Ultra Fund is related to or competes with Amana Income, Amana Income, Amana Developing, and Amana Developing. The fund normally invests in stocks of companies that the adviser believes will increase in value over time More
Ultra Fund 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 Ultra Fund'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 Ultra Fund R5 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.978 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.7 | |||
| Value At Risk | (1.65) | |||
| Potential Upside | 1.5 |
Ultra Fund Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ultra Fund's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ultra Fund's standard deviation. In reality, there are many statistical measures that can use Ultra Fund historical prices to predict the future Ultra Fund's volatility.| Risk Adjusted Performance | 0.0405 | |||
| Jensen Alpha | 0.0545 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | (1.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ultra Fund'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.
Ultra Fund R5 Backtested Returns
We consider Ultra Fund very steady. Ultra Fund R5 owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0503, which indicates the fund had a 0.0503% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Ultra Fund R5, which you can use to evaluate the volatility of the fund. Please validate Ultra Fund's Coefficient Of Variation of 1708.38, risk adjusted performance of 0.0405, and Semi Deviation of 0.8999 to confirm if the risk estimate we provide is consistent with the expected return of 0.0535%. The entity has a beta of -0.0501, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Ultra Fund are expected to decrease at a much lower rate. During the bear market, Ultra Fund is likely to outperform the market.
Auto-correlation | 0.60 |
Good predictability
Ultra Fund R5 has good predictability. Overlapping area represents the amount of predictability between Ultra Fund time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Ultra Fund R5 price movement. The serial correlation of 0.6 indicates that roughly 60.0% of current Ultra Fund price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.6 | |
| Spearman Rank Test | 0.68 | |
| Residual Average | 0.0 | |
| Price Variance | 2.83 |
Ultra Fund R5 lagged returns against current returns
Autocorrelation, which is Ultra Fund 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 Ultra Fund's mutual fund expected returns. We can calculate the autocorrelation of Ultra Fund returns to help us make a trade decision. For example, suppose you find that Ultra Fund 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 |
Ultra Fund 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 Ultra Fund mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ultra Fund mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ultra Fund mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ultra Fund Lagged Returns
When evaluating Ultra Fund's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ultra Fund mutual fund have on its future price. Ultra Fund 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, Ultra Fund autocorrelation shows the relationship between Ultra Fund mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ultra Fund R5.
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 Ultra Fund 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, Ultra Fund's short interest history, or implied volatility extrapolated from Ultra Fund options trading.
Pair Trading with Ultra Fund
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 Ultra Fund 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 Ultra Fund will appreciate offsetting losses from the drop in the long position's value.Moving together with Ultra Mutual Fund
| 0.81 | AMEIX | Equity Growth | PairCorr |
| 0.71 | AMGIX | Income Growth | PairCorr |
Moving against Ultra Mutual Fund
| 0.6 | TWCIX | Select Fund Investor | PairCorr |
The ability to find closely correlated positions to Ultra Fund could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ultra Fund 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 Ultra Fund - 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 Ultra Fund R5 to buy it.
The correlation of Ultra Fund 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 Ultra Fund moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ultra Fund R5 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 Ultra Fund 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 Ultra Fund Correlation, Ultra Fund Volatility and Ultra Fund Alpha and Beta module to complement your research on Ultra Fund. Note that the Ultra Fund R5 information on this page should be used as a complementary analysis to other Ultra Fund'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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
Ultra Fund 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.