Midcap Value Fund Market Value
| PVEJX Fund | USD 16.73 0.13 0.78% |
| Symbol | Midcap |
Midcap Value '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 Value'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 Value.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Midcap Value on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Midcap Value Fund or generate 0.0% return on investment in Midcap Value over 30 days. Midcap Value is related to or competes with Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, International Equity, 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 Value 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 Value'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 Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8288 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 3.17 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 1.12 |
Midcap Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Midcap Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Midcap Value's standard deviation. In reality, there are many statistical measures that can use Midcap Value historical prices to predict the future Midcap Value's volatility.| Risk Adjusted Performance | 0.074 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0674 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Midcap Value'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 Value Backtested Returns
We consider Midcap Value very steady. Midcap Value has Sharpe Ratio of 0.0814, which conveys that the entity had a 0.0814% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Midcap Value, which you can use to evaluate the volatility of the fund. Please verify Midcap Value's Mean Deviation of 0.5661, downside deviation of 0.8288, and Risk Adjusted Performance of 0.074 to check out if the risk estimate we provide is consistent with the expected return of 0.0585%. The fund secures a Beta (Market Risk) of 1.1, which conveys a somewhat significant risk relative to the market. Midcap Value returns are very sensitive to returns on the market. As the market goes up or down, Midcap Value is expected to follow.
Auto-correlation | 0.11 |
Insignificant predictability
Midcap Value Fund has insignificant predictability. Overlapping area represents the amount of predictability between Midcap Value time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Value price movement. The serial correlation of 0.11 indicates that less than 11.0% of current Midcap Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.11 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Midcap Value lagged returns against current returns
Autocorrelation, which is Midcap Value 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 Value's mutual fund expected returns. We can calculate the autocorrelation of Midcap Value returns to help us make a trade decision. For example, suppose you find that Midcap Value 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 Value 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 Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Midcap Value 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 Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Midcap Value Lagged Returns
When evaluating Midcap Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Midcap Value mutual fund have on its future price. Midcap Value 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 Value autocorrelation shows the relationship between Midcap Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Midcap Value Fund.
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 Midcap Value 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, Midcap Value's short interest history, or implied volatility extrapolated from Midcap Value options trading.
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Midcap Value 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
Align your risk with return expectations
Check out Midcap Value Correlation, Midcap Value Volatility and Midcap Value Alpha and Beta module to complement your research on Midcap Value. You can also try the Correlation Analysis module to reduce portfolio risk simply by holding instruments which are not perfectly correlated.
Midcap Value 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.