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Northern Funds Backtesting

NO
NOLVX -- USA Fund  

USD 17.96  0.10  0.55%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Northern Funds Large Cap Value and determine expected loss or profit from investing in Northern Funds over given investment horizon. Additionally see Northern Funds Hype Analysis, Northern Funds Correlation, Portfolio Optimization, Northern Funds Volatility as well as analyze Northern Funds Alpha and Beta and Northern Funds Performance.
SymbolX
Backtest

Northern Funds 'What if' Analysis

November 26, 2019
0.00
No Change 0.00  0.0 
In 2 months and 31 days
February 24, 2020
0.00
If you would invest  0.00  in Northern Funds on November 26, 2019 and sell it all today you would earn a total of 0.00 from holding Northern Funds Large Cap Value or generate 0.0% return on investment in Northern Funds over 90 days. Northern Funds is related to or competes with Invesco Diversified, Equity Income, JPMorgan Value, Hartford Dividend, Strategic Advisers, Lord Abbett, and American Beacon. The investment seeks to provide long-term capital appreciation

Northern Funds Upside/Downside Indicators

Downside Deviation0.7882
Information Ratio(0.06)
Maximum Drawdown3.12
Value At Risk(1.11)
Potential Upside0.8939

Northern Funds Market Premium Indicators

Risk Adjusted Performance0.0148
Jensen Alpha0.0078
Total Risk Alpha(0.03309)
Sortino Ratio(0.05)
Treynor Ratio(0.047516)

Northern Funds Large Backtested Returns

Macroaxis considers Northern Funds to be not too volatile. Northern Funds Large has Sharpe Ratio of -0.0032 which conveys that the entity had -0.0032% of return per unit of risk over the last 3 months. Macroaxis philosophy towards estimating risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Northern Funds exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to verify Northern Funds Large Cap Value Mean Deviation of 0.4626, Risk Adjusted Performance of 0.0148 and Downside Deviation of 0.7882 to check out risk estimate we provide. The fund secures Beta (Market Risk) of -0.085 which conveys that as returns on market increase, returns on owning Northern Funds are expected to decrease at a much smaller rate. During bear market, Northern Funds is likely to outperform the market. Even though it is essential to pay attention to Northern Funds Large price patterns, it is always good to be careful when utilizing equity historical price patterns. Macroaxis philosophy towards estimating future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Northern Funds exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.52) 
correlation synergy

Good reverse predictability

Northern Funds Large Cap Value has good reverse predictability. Overlapping area represents the amount of predictability between Northern Funds time series from November 26, 2019 to January 10, 2020 and January 10, 2020 to February 24, 2020. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Northern Funds Large price movement. The serial correlation of -0.52 indicates that about 52.0% of current Northern Funds price fluctuation can be explain by its past prices. Given that Northern Funds Large Cap Value has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Northern Funds for similar time interval.
Correlation Coefficient-0.52
Spearman Rank Test0.11
Residual Average0.0
Price Variance0.03

Northern Funds Large lagged returns against current returns

 Current and Lagged Values 
    
  Timeline 

Northern Funds regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
  Timeline 

Northern Funds Lagged Returns

 Regressed Prices 
    
  Timeline 

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Additionally see Northern Funds Hype Analysis, Northern Funds Correlation, Portfolio Optimization, Northern Funds Volatility as well as analyze Northern Funds Alpha and Beta and Northern Funds Performance. Please also try Equity Search module to search for activelly-traded equities including funds and etfs from over 30 global markets.