Blackrock Mdcp Val Fund Market Value
| MARFX Fund | USD 23.27 0.10 0.43% |
| Symbol | Blackrock |
Blackrock Mdcp '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 Blackrock Mdcp'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 Blackrock Mdcp.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Blackrock Mdcp on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Blackrock Mdcp Val or generate 0.0% return on investment in Blackrock Mdcp over 30 days. Blackrock Mdcp is related to or competes with Blackrock Value, Blackrock Glbl, Blackrock Basic, Blackrock Capital, and Blackrock. The fund seeks to achieve its investment objective by investing primarily in a diversified portfolio of equity securitie... More
Blackrock Mdcp 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 Blackrock Mdcp'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 Blackrock Mdcp Val upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8183 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 3.25 | |||
| Value At Risk | (1.24) | |||
| Potential Upside | 1.16 |
Blackrock Mdcp Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Mdcp's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Mdcp's standard deviation. In reality, there are many statistical measures that can use Blackrock Mdcp historical prices to predict the future Blackrock Mdcp's volatility.| Risk Adjusted Performance | 0.0644 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0599 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Blackrock Mdcp'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.
Blackrock Mdcp Val Backtested Returns
We consider Blackrock Mdcp very steady. Blackrock Mdcp Val secures Sharpe Ratio (or Efficiency) of 0.0821, which signifies that the fund had a 0.0821% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Blackrock Mdcp Val, which you can use to evaluate the volatility of the entity. Please confirm Blackrock Mdcp's risk adjusted performance of 0.0644, and Mean Deviation of 0.5281 to double-check if the risk estimate we provide is consistent with the expected return of 0.0572%. The fund shows a Beta (market volatility) of 1.02, which signifies a somewhat significant risk relative to the market. Blackrock Mdcp returns are very sensitive to returns on the market. As the market goes up or down, Blackrock Mdcp is expected to follow.
Auto-correlation | -0.03 |
Very weak reverse predictability
Blackrock Mdcp Val has very weak reverse predictability. Overlapping area represents the amount of predictability between Blackrock Mdcp 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 Blackrock Mdcp Val price movement. The serial correlation of -0.03 indicates that only 3.0% of current Blackrock Mdcp price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Blackrock Mdcp Val lagged returns against current returns
Autocorrelation, which is Blackrock Mdcp 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 Blackrock Mdcp's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Mdcp returns to help us make a trade decision. For example, suppose you find that Blackrock Mdcp 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 |
Blackrock Mdcp 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 Blackrock Mdcp mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock Mdcp mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Blackrock Mdcp mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Mdcp Lagged Returns
When evaluating Blackrock Mdcp's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Mdcp mutual fund have on its future price. Blackrock Mdcp 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, Blackrock Mdcp autocorrelation shows the relationship between Blackrock Mdcp mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Mdcp Val.
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 Blackrock Mdcp 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, Blackrock Mdcp's short interest history, or implied volatility extrapolated from Blackrock Mdcp options trading.
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Try AI Portfolio ArchitectCheck out Blackrock Mdcp Correlation, Blackrock Mdcp Volatility and Blackrock Mdcp Alpha and Beta module to complement your research on Blackrock Mdcp. Note that the Blackrock Mdcp Val information on this page should be used as a complementary analysis to other Blackrock Mdcp'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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Blackrock Mdcp 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.