Midcap Fund R 1 Fund Market Value
| PMSBX Fund | USD 33.26 0.16 0.48% |
| Symbol | Midcap |
Midcap Fund '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 Midcap Fund'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 Midcap Fund.
| 05/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in Midcap Fund on May 24, 2023 and sell it all today you would earn a total of 0.00 from holding Midcap Fund R 1 or generate 0.0% return on investment in Midcap Fund over 330 days. Midcap Fund is related to or competes with Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, International Equity, International Small, and Strategic Asset. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
Midcap Fund 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 Midcap Fund'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 Midcap Fund R 1 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8693 | |||
| Information Ratio | 0.0249 | |||
| Maximum Drawdown | 3.25 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 1.32 |
Midcap Fund Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Midcap Fund's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Midcap Fund's standard deviation. In reality, there are many statistical measures that can use Midcap Fund historical prices to predict the future Midcap Fund's volatility.| Risk Adjusted Performance | 0.0609 | |||
| Jensen Alpha | 0.0114 | |||
| Total Risk Alpha | 0.007 | |||
| Sortino Ratio | 0.0233 | |||
| Treynor Ratio | 0.055 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Midcap Fund'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.
Midcap Fund R Backtested Returns
We consider Midcap Fund very steady. Midcap Fund R has Sharpe Ratio of 0.0632, which conveys that the entity had a 0.0632% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Midcap Fund, which you can use to evaluate the volatility of the fund. Please verify Midcap Fund's Downside Deviation of 0.8693, risk adjusted performance of 0.0609, and Mean Deviation of 0.6482 to check out if the risk estimate we provide is consistent with the expected return of 0.0509%. The fund secures a Beta (Market Risk) of 1.19, which conveys a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Midcap Fund will likely underperform.
Auto-correlation | -0.14 |
Insignificant reverse predictability
Midcap Fund R 1 has insignificant reverse predictability. Overlapping area represents the amount of predictability between Midcap Fund time series from 24th of May 2023 to 5th of November 2023 and 5th of November 2023 to 18th 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 Midcap Fund R price movement. The serial correlation of -0.14 indicates that less than 14.0% of current Midcap Fund price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.14 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 3.39 |
Midcap Fund R lagged returns against current returns
Autocorrelation, which is Midcap Fund 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 Midcap Fund's mutual fund expected returns. We can calculate the autocorrelation of Midcap Fund returns to help us make a trade decision. For example, suppose you find that Midcap Fund 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 |
Midcap Fund 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 Midcap Fund mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Midcap Fund mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Midcap Fund mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Midcap Fund Lagged Returns
When evaluating Midcap Fund's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Midcap Fund mutual fund have on its future price. Midcap Fund 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, Midcap Fund autocorrelation shows the relationship between Midcap Fund mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Midcap Fund R 1.
Regressed Prices |
| Timeline |
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Midcap Fund R using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
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Check out Midcap Fund Correlation, Midcap Fund Volatility and Midcap Fund Alpha and Beta module to complement your research on Midcap Fund. Note that the Midcap Fund R information on this page should be used as a complementary analysis to other Midcap Fund'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 Pattern Recognition module to use different Pattern Recognition models to time the market across multiple global exchanges.
Midcap Fund 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.