The Value Fund Market Value
CFVLX Fund | USD 32.02 0.17 0.53% |
Symbol | The |
The Value '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 The Value'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 The Value.
03/27/2024 |
| 04/26/2024 |
If you would invest 0.00 in The Value on March 27, 2024 and sell it all today you would earn a total of 0.00 from holding The Value Fund or generate 0.0% return on investment in The Value over 30 days. The Value is related to or competes with Cullen High, Growth Fund, The Midcap, Lazard Global, and Bond Fund. Under normal market conditions, the fund invests at least 65 percent of its total assets in stocks, primarily common sto... More
The Value 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 The Value'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 The Value Fund upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.8208 | |||
Information Ratio | (0.09) | |||
Maximum Drawdown | 3.15 | |||
Value At Risk | (1.21) | |||
Potential Upside | 0.8995 |
The Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for The Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as The Value's standard deviation. In reality, there are many statistical measures that can use The Value historical prices to predict the future The Value's volatility.Risk Adjusted Performance | 0.0306 | |||
Jensen Alpha | (0.05) | |||
Total Risk Alpha | (0.06) | |||
Sortino Ratio | (0.07) | |||
Treynor Ratio | 0.0237 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of The Value'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.
Value Fund Backtested Returns
We consider The Value very steady. Value Fund owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0482, which indicates the fund had a 0.0482% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for The Value Fund, which you can use to evaluate the volatility of the fund. Please validate The Value's Coefficient Of Variation of 2073.71, risk adjusted performance of 0.0306, and Semi Deviation of 0.7008 to confirm if the risk estimate we provide is consistent with the expected return of 0.0317%. The entity has a beta of 0.92, which indicates possible diversification benefits within a given portfolio. the Value returns are very sensitive to returns on the market. As the market goes up or down, the Value is expected to follow.
Auto-correlation | -0.14 |
Insignificant reverse predictability
The Value Fund has insignificant reverse predictability. Overlapping area represents the amount of predictability between The Value time series from 27th of March 2024 to 11th of April 2024 and 11th of April 2024 to 26th 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 Value Fund price movement. The serial correlation of -0.14 indicates that less than 14.0% of current The Value price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.14 | |
Spearman Rank Test | -0.33 | |
Residual Average | 0.0 | |
Price Variance | 0.1 |
Value Fund lagged returns against current returns
Autocorrelation, which is The Value 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 The Value's mutual fund expected returns. We can calculate the autocorrelation of The Value returns to help us make a trade decision. For example, suppose you find that The Value 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 |
The Value 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 The Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if The Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in The Value mutual fund over time.
Current vs Lagged Prices |
Timeline |
The Value Lagged Returns
When evaluating The Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of The Value mutual fund have on its future price. The Value 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, The Value autocorrelation shows the relationship between The Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Value 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 The Value 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, The Value's short interest history, or implied volatility extrapolated from The Value options trading.
Pair Trading with The Value
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 The Value 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 The Value will appreciate offsetting losses from the drop in the long position's value.Moving together with The Mutual Fund
0.9 | VVIAX | Vanguard Value Index | PairCorr |
0.83 | DOXGX | Dodge Cox Stock | PairCorr |
0.86 | FFMMX | American Funds American | PairCorr |
0.86 | FFFMX | American Funds American | PairCorr |
0.86 | AMRMX | American Mutual | PairCorr |
Moving against The Mutual Fund
0.85 | UIPIX | Ultrashort Mid Cap | PairCorr |
0.55 | USPSX | Profunds Ultrashort | PairCorr |
0.54 | USPIX | Profunds Ultrashort | PairCorr |
The ability to find closely correlated positions to The Value could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace The Value 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 The Value - 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 The Value Fund to buy it.
The correlation of The Value 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 The Value moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Value 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 The Value 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 The Value Correlation, The Value Volatility and The Value Alpha and Beta module to complement your research on The Value. You can also try the Fundamental Analysis module to view fundamental data based on most recent published financial statements.
The Value 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.