Davis Appreciation Income Fund Market Value
| DCSCX Fund | USD 57.39 0.02 0.03% |
| Symbol | Davis |
Davis Appreciation '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 Davis Appreciation'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 Davis Appreciation.
| 03/21/2024 |
| 04/20/2024 |
If you would invest 0.00 in Davis Appreciation on March 21, 2024 and sell it all today you would earn a total of 0.00 from holding Davis Appreciation Income or generate 0.0% return on investment in Davis Appreciation over 30 days. Davis Appreciation is related to or competes with Ab Bond, Ab Bond, Aqr Managed, Lord Abbett, Fs Managed, and Atac Inflation. The funds investment adviser uses the Davis Investment Discipline to invest Davis Appreciation Income Funds assets in a ... More
Davis Appreciation 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 Davis Appreciation'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 Davis Appreciation Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5696 | |||
| Information Ratio | 0.0013 | |||
| Maximum Drawdown | 2.67 | |||
| Value At Risk | (0.88) | |||
| Potential Upside | 1.09 |
Davis Appreciation Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Davis Appreciation's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Davis Appreciation's standard deviation. In reality, there are many statistical measures that can use Davis Appreciation historical prices to predict the future Davis Appreciation's volatility.| Risk Adjusted Performance | 0.0903 | |||
| Jensen Alpha | 0.0739 | |||
| Total Risk Alpha | 0.0047 | |||
| Sortino Ratio | 0.0013 | |||
| Treynor Ratio | 2.6 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Davis Appreciation'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.
Davis Appreciation Backtested Returns
We consider Davis Appreciation very steady. Davis Appreciation secures Sharpe Ratio (or Efficiency) of 0.14, which denotes the fund had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Davis Appreciation Income, which you can use to evaluate the volatility of the entity. Please confirm Davis Appreciation's Downside Deviation of 0.5696, mean deviation of 0.4636, and Coefficient Of Variation of 673.48 to check if the risk estimate we provide is consistent with the expected return of 0.0783%. The fund shows a Beta (market volatility) of 0.0293, which means not very significant fluctuations relative to the market. As returns on the market increase, Davis Appreciation's returns are expected to increase less than the market. However, during the bear market, the loss of holding Davis Appreciation is expected to be smaller as well.
Auto-correlation | -0.32 |
Poor reverse predictability
Davis Appreciation Income has poor reverse predictability. Overlapping area represents the amount of predictability between Davis Appreciation time series from 21st of March 2024 to 5th of April 2024 and 5th of April 2024 to 20th 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 Davis Appreciation price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Davis Appreciation price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 0.49 |
Davis Appreciation lagged returns against current returns
Autocorrelation, which is Davis Appreciation 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 Davis Appreciation's mutual fund expected returns. We can calculate the autocorrelation of Davis Appreciation returns to help us make a trade decision. For example, suppose you find that Davis Appreciation 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 |
Davis Appreciation 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 Davis Appreciation mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Davis Appreciation mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Davis Appreciation mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Davis Appreciation Lagged Returns
When evaluating Davis Appreciation's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Davis Appreciation mutual fund have on its future price. Davis Appreciation 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, Davis Appreciation autocorrelation shows the relationship between Davis Appreciation mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Davis Appreciation Income.
Regressed Prices |
| Timeline |
Pair Trading with Davis Appreciation
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 Davis Appreciation 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 Davis Appreciation will appreciate offsetting losses from the drop in the long position's value.Moving together with Davis Mutual Fund
| 0.94 | DILCX | Davis International | PairCorr |
| 0.94 | DILAX | Davis International | PairCorr |
| 0.94 | DILYX | Davis International | PairCorr |
| 0.9 | RPFGX | Davis Financial | PairCorr |
| 0.95 | RPFCX | Davis Appreciation | PairCorr |
The ability to find closely correlated positions to Davis Appreciation could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Davis Appreciation 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 Davis Appreciation - 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 Davis Appreciation Income to buy it.
The correlation of Davis Appreciation 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 Davis Appreciation moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Davis Appreciation 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 Davis Appreciation 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 Davis Appreciation Correlation, Davis Appreciation Volatility and Davis Appreciation Alpha and Beta module to complement your research on Davis Appreciation. Note that the Davis Appreciation information on this page should be used as a complementary analysis to other Davis Appreciation'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 Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Davis Appreciation 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.