Federated Capital Income Fund Market Value
CAPRX Fund | USD 8.43 0.05 0.60% |
Symbol | Federated |
Federated Capital '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 Federated Capital'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 Federated Capital.
02/27/2024 |
| 03/28/2024 |
If you would invest 0.00 in Federated Capital on February 27, 2024 and sell it all today you would earn a total of 0.00 from holding Federated Capital Income or generate 0.0% return on investment in Federated Capital over 30 days. Federated Capital is related to or competes with State Farm, Federated Hermes, Federated Mdt, Federated High, Federated Hermes, Federated Hermes, and Federated Hermes. The fund pursues its investment objectives by investing primarily in both equity and fixed-income securities that have r... More
Federated Capital 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 Federated Capital'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 Federated Capital Income upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.4137 | |||
Information Ratio | (0.19) | |||
Maximum Drawdown | 1.84 | |||
Value At Risk | (0.49) | |||
Potential Upside | 0.6017 |
Federated Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Federated Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Federated Capital's standard deviation. In reality, there are many statistical measures that can use Federated Capital historical prices to predict the future Federated Capital's volatility.Risk Adjusted Performance | 0.1041 | |||
Jensen Alpha | (0.01) | |||
Total Risk Alpha | (0.02) | |||
Sortino Ratio | (0.16) | |||
Treynor Ratio | 0.1027 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Federated Capital'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.
Federated Capital Income Backtested Returns
We consider Federated Capital very steady. Federated Capital Income secures Sharpe Ratio (or Efficiency) of 0.18, which denotes the fund had a 0.18% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Federated Capital Income, which you can use to evaluate the volatility of the entity. Please confirm Federated Capital's Downside Deviation of 0.4137, coefficient of variation of 504.27, and Mean Deviation of 0.2706 to check if the risk estimate we provide is consistent with the expected return of 0.0631%. The fund shows a Beta (market volatility) of 0.57, which means possible diversification benefits within a given portfolio. As returns on the market increase, Federated Capital's returns are expected to increase less than the market. However, during the bear market, the loss of holding Federated Capital is expected to be smaller as well.
Auto-correlation | 0.82 |
Very good predictability
Federated Capital Income has very good predictability. Overlapping area represents the amount of predictability between Federated Capital time series from 27th of February 2024 to 13th of March 2024 and 13th of March 2024 to 28th of March 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 Federated Capital Income price movement. The serial correlation of 0.82 indicates that around 82.0% of current Federated Capital price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.82 | |
Spearman Rank Test | 0.91 | |
Residual Average | 0.0 | |
Price Variance | 0.0 |
Federated Capital Income lagged returns against current returns
Autocorrelation, which is Federated Capital 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 Federated Capital's mutual fund expected returns. We can calculate the autocorrelation of Federated Capital returns to help us make a trade decision. For example, suppose you find that Federated Capital 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 |
Federated Capital 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 Federated Capital mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Federated Capital mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Federated Capital mutual fund over time.
Current vs Lagged Prices |
Timeline |
Federated Capital Lagged Returns
When evaluating Federated Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Federated Capital mutual fund have on its future price. Federated Capital 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, Federated Capital autocorrelation shows the relationship between Federated Capital mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Federated Capital Income.
Regressed Prices |
Timeline |
Pair Trading with Federated Capital
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 Federated Capital 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 Federated Capital will appreciate offsetting losses from the drop in the long position's value.Moving together with Federated Mutual Fund
0.96 | STFGX | State Farm Growth | PairCorr |
0.92 | QAMNX | Federated Hermes Mdt | PairCorr |
0.9 | QALGX | Federated Mdt Large | PairCorr |
0.8 | FHBRX | Federated High Income | PairCorr |
0.85 | FHCOX | Federated Hermes Con | PairCorr |
Moving against Federated Mutual Fund
0.55 | FIGTX | Federated U S | PairCorr |
The ability to find closely correlated positions to Federated Capital could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Federated Capital 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 Federated Capital - 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 Federated Capital Income to buy it.
The correlation of Federated Capital 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 Federated Capital moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Federated Capital Income 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 Federated Capital 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 Federated Capital Correlation, Federated Capital Volatility and Federated Capital Alpha and Beta module to complement your research on Federated Capital. You can also try the Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
Complementary Tools for Federated Mutual Fund analysis
When running Federated Capital's price analysis, check to measure Federated Capital's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Federated Capital is operating at the current time. Most of Federated Capital's value examination focuses on studying past and present price action to predict the probability of Federated Capital's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Federated Capital's price. Additionally, you may evaluate how the addition of Federated Capital to your portfolios can decrease your overall portfolio volatility.
Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
Idea Analyzer Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas | |
Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
Sectors List of equity sectors categorizing publicly traded companies based on their primary business activities | |
Stocks Directory Find actively traded stocks across global markets |
Federated Capital 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.