Putnam Research Fund Market Value
| PNRAX Fund | USD 48.11 0.13 0.27% |
| Symbol | Putnam |
Putnam Research '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 Putnam Research'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 Putnam Research.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Putnam Research on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Putnam Research Fund or generate 0.0% return on investment in Putnam Research over 30 days. Putnam Research is related to or competes with Putnam Growth, Putnam International, George Putnam, Putnam Global, and Putnam Small. The fund invests mainly in common stocks of large U.S More
Putnam Research 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 Putnam Research'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 Putnam Research Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7045 | |||
| Information Ratio | 0.0471 | |||
| Maximum Drawdown | 3.66 | |||
| Value At Risk | (1.30) | |||
| Potential Upside | 1.26 |
Putnam Research Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Putnam Research's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Putnam Research's standard deviation. In reality, there are many statistical measures that can use Putnam Research historical prices to predict the future Putnam Research's volatility.| Risk Adjusted Performance | 0.0865 | |||
| Jensen Alpha | 0.035 | |||
| Total Risk Alpha | 0.0222 | |||
| Sortino Ratio | 0.051 | |||
| Treynor Ratio | 0.093 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Putnam Research'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.
Putnam Research Backtested Returns
We consider Putnam Research very steady. Putnam Research maintains Sharpe Ratio (i.e., Efficiency) of 0.11, which implies the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Putnam Research, which you can use to evaluate the volatility of the fund. Please check Putnam Research's Coefficient Of Variation of 730.18, semi deviation of 0.5645, and Risk Adjusted Performance of 0.0865 to confirm if the risk estimate we provide is consistent with the expected return of 0.0803%. The fund holds a Beta of 1.02, which implies a somewhat significant risk relative to the market. Putnam Research returns are very sensitive to returns on the market. As the market goes up or down, Putnam Research is expected to follow.
Auto-correlation | 0.63 |
Good predictability
Putnam Research Fund has good predictability. Overlapping area represents the amount of predictability between Putnam Research time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Putnam Research price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Putnam Research price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 0.5 |
Putnam Research lagged returns against current returns
Autocorrelation, which is Putnam Research 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 Putnam Research's mutual fund expected returns. We can calculate the autocorrelation of Putnam Research returns to help us make a trade decision. For example, suppose you find that Putnam Research 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 |
Putnam Research 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 Putnam Research mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Putnam Research mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Putnam Research mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Putnam Research Lagged Returns
When evaluating Putnam Research's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Putnam Research mutual fund have on its future price. Putnam Research 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, Putnam Research autocorrelation shows the relationship between Putnam Research mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Putnam Research Fund.
Regressed Prices |
| Timeline |
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Check out Putnam Research Correlation, Putnam Research Volatility and Putnam Research Alpha and Beta module to complement your research on Putnam Research. Note that the Putnam Research information on this page should be used as a complementary analysis to other Putnam Research'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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas.
Putnam Research 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.