Quantified Market Leaders Fund Market Value
| QMLAX Fund | USD 10.41 0.09 0.86% |
| Symbol | Quantified |
Quantified Market '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 Quantified Market'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 Quantified Market.
| 04/29/2022 |
| 04/18/2024 |
If you would invest 0.00 in Quantified Market on April 29, 2022 and sell it all today you would earn a total of 0.00 from holding Quantified Market Leaders or generate 0.0% return on investment in Quantified Market over 720 days. Quantified Market is related to or competes with All Asset, Pimco All, and Pimco All. The fund will typically invest primarily in equity or investment grade fixed income securities either directly through i... More
Quantified Market 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 Quantified Market'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 Quantified Market Leaders upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.29 | |||
| Information Ratio | 0.0252 | |||
| Maximum Drawdown | 5.71 | |||
| Value At Risk | (2.09) | |||
| Potential Upside | 1.9 |
Quantified Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Quantified Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Quantified Market's standard deviation. In reality, there are many statistical measures that can use Quantified Market historical prices to predict the future Quantified Market's volatility.| Risk Adjusted Performance | 0.049 | |||
| Jensen Alpha | (0.0006) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0242 | |||
| Treynor Ratio | 0.0451 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Quantified Market'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.
Quantified Market Leaders Backtested Returns
We consider Quantified Market out of control. Quantified Market Leaders maintains Sharpe Ratio (i.e., Efficiency) of 0.0555, which implies the entity had a 0.0555% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Quantified Market Leaders, which you can use to evaluate the volatility of the fund. Please check Quantified Market's Semi Deviation of 1.21, risk adjusted performance of 0.049, and Coefficient Of Variation of 1429.89 to confirm if the risk estimate we provide is consistent with the expected return of 0.068%. The fund holds a Beta of 1.7, which implies 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, Quantified Market will likely underperform.
Auto-correlation | -0.52 |
Good reverse predictability
Quantified Market Leaders has good reverse predictability. Overlapping area represents the amount of predictability between Quantified Market time series from 29th of April 2022 to 24th of April 2023 and 24th of April 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 Quantified Market Leaders price movement. The serial correlation of -0.52 indicates that about 52.0% of current Quantified Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.38 | |
| Residual Average | 0.0 | |
| Price Variance | 0.62 |
Quantified Market Leaders lagged returns against current returns
Autocorrelation, which is Quantified Market 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 Quantified Market's mutual fund expected returns. We can calculate the autocorrelation of Quantified Market returns to help us make a trade decision. For example, suppose you find that Quantified Market 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 |
Quantified Market 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 Quantified Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Quantified Market mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Quantified Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Quantified Market Lagged Returns
When evaluating Quantified Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Quantified Market mutual fund have on its future price. Quantified Market 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, Quantified Market autocorrelation shows the relationship between Quantified Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Quantified Market Leaders.
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 Quantified Market 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, Quantified Market's short interest history, or implied volatility extrapolated from Quantified Market options trading.
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Check out Quantified Market Correlation, Quantified Market Volatility and Quantified Market Alpha and Beta module to complement your research on Quantified Market. Note that the Quantified Market Leaders information on this page should be used as a complementary analysis to other Quantified Market'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 Instant Ratings module to determine any equity ratings based on digital recommendations. Macroaxis instant equity ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Quantified Market 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.