Massmutual Select Fundamental Fund Market Value
| MFULX Fund | USD 9.13 0.07 0.77% |
| Symbol | Massmutual |
Massmutual Select '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 Massmutual Select'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 Massmutual Select.
| 02/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Massmutual Select on February 28, 2023 and sell it all today you would earn a total of 0.00 from holding Massmutual Select Fundamental or generate 0.0% return on investment in Massmutual Select over 420 days. Massmutual Select is related to or competes with Massmutual Select, Massmutual Select, Massmutual Select, Massmutual Select, Massmutual Select, Massmutual Select, and Massmutual Premier. The fund invests primarily in equity securities of issuers that the funds subadvisers believe are undervalued More
Massmutual Select 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 Massmutual Select'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 Massmutual Select Fundamental upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7282 | |||
| Information Ratio | 0.0307 | |||
| Maximum Drawdown | 2.8 | |||
| Value At Risk | (1.06) | |||
| Potential Upside | 0.9412 |
Massmutual Select Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Massmutual Select's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Massmutual Select's standard deviation. In reality, there are many statistical measures that can use Massmutual Select historical prices to predict the future Massmutual Select's volatility.| Risk Adjusted Performance | 0.1054 | |||
| Jensen Alpha | 0.0227 | |||
| Total Risk Alpha | 0.0197 | |||
| Sortino Ratio | 0.0254 | |||
| Treynor Ratio | 0.0994 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Massmutual Select'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.
Massmutual Select Backtested Returns
We consider Massmutual Select very steady. Massmutual Select has Sharpe Ratio of 0.13, which conveys that the entity had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Massmutual Select, which you can use to evaluate the volatility of the fund. Please verify Massmutual Select's Downside Deviation of 0.7282, risk adjusted performance of 0.1054, and Mean Deviation of 0.463 to check out if the risk estimate we provide is consistent with the expected return of 0.0803%. The fund secures a Beta (Market Risk) of 0.94, which conveys possible diversification benefits within a given portfolio. Massmutual Select returns are very sensitive to returns on the market. As the market goes up or down, Massmutual Select is expected to follow.
Auto-correlation | 0.76 |
Good predictability
Massmutual Select Fundamental has good predictability. Overlapping area represents the amount of predictability between Massmutual Select time series from 28th of February 2023 to 26th of September 2023 and 26th of September 2023 to 23rd 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 Massmutual Select price movement. The serial correlation of 0.76 indicates that around 76.0% of current Massmutual Select price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.76 | |
| Spearman Rank Test | 0.77 | |
| Residual Average | 0.0 | |
| Price Variance | 0.29 |
Massmutual Select lagged returns against current returns
Autocorrelation, which is Massmutual Select 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 Massmutual Select's mutual fund expected returns. We can calculate the autocorrelation of Massmutual Select returns to help us make a trade decision. For example, suppose you find that Massmutual Select 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 |
Massmutual Select 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 Massmutual Select mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Massmutual Select mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Massmutual Select mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Massmutual Select Lagged Returns
When evaluating Massmutual Select's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Massmutual Select mutual fund have on its future price. Massmutual Select 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, Massmutual Select autocorrelation shows the relationship between Massmutual Select mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Massmutual Select Fundamental.
Regressed Prices |
| Timeline |
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Massmutual Select Correlation, Massmutual Select Volatility and Massmutual Select Alpha and Beta module to complement your research on Massmutual Select. You can also try the Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
Massmutual Select 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.