Siit Large Cap Fund Market Value
| SCPAX Fund | USD 10.88 0.10 0.93% |
| Symbol | Siit |
Siit Large '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 Siit Large'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 Siit Large.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in Siit Large on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding Siit Large Cap or generate 0.0% return on investment in Siit Large over 720 days. Siit Large is related to or competes with Saat Aggressive, Siit Small, Tax-free Conservative, Stet Short, Siit Ultra, Siit Dynamic, and Stet Tax-advantaged. Under normal circumstances, the Large Cap Disciplined Equity Fund will invest at least 80 percent of its net assets in e... More
Siit Large 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 Siit Large'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 Siit Large Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7064 | |||
| Information Ratio | 0.0137 | |||
| Maximum Drawdown | 3.4 | |||
| Value At Risk | (1.24) | |||
| Potential Upside | 1.01 |
Siit Large Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siit Large's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siit Large's standard deviation. In reality, there are many statistical measures that can use Siit Large historical prices to predict the future Siit Large's volatility.| Risk Adjusted Performance | 0.0893 | |||
| Jensen Alpha | 0.0108 | |||
| Total Risk Alpha | 1.0E-4 | |||
| Sortino Ratio | 0.0134 | |||
| Treynor Ratio | 0.0902 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siit Large'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.
Siit Large Cap Backtested Returns
We consider Siit Large very steady. Siit Large Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.11, which indicates the fund had a 0.11% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Siit Large Cap, which you can use to evaluate the volatility of the fund. Please validate Siit Large's Risk Adjusted Performance of 0.0893, semi deviation of 0.5441, and Coefficient Of Variation of 697.72 to confirm if the risk estimate we provide is consistent with the expected return of 0.0768%. The entity has a beta of 0.98, which indicates possible diversification benefits within a given portfolio. Siit Large returns are very sensitive to returns on the market. As the market goes up or down, Siit Large is expected to follow.
Auto-correlation | 0.47 |
Average predictability
Siit Large Cap has average predictability. Overlapping area represents the amount of predictability between Siit Large time series from 4th of May 2022 to 29th of April 2023 and 29th of April 2023 to 23rd 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 Siit Large Cap price movement. The serial correlation of 0.47 indicates that about 47.0% of current Siit Large price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.61 |
Siit Large Cap lagged returns against current returns
Autocorrelation, which is Siit Large 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 Siit Large's mutual fund expected returns. We can calculate the autocorrelation of Siit Large returns to help us make a trade decision. For example, suppose you find that Siit Large 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 |
Siit Large 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 Siit Large mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siit Large mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Siit Large mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Siit Large Lagged Returns
When evaluating Siit Large's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siit Large mutual fund have on its future price. Siit Large 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, Siit Large autocorrelation shows the relationship between Siit Large mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Siit Large Cap.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Siit Large Correlation, Siit Large Volatility and Siit Large Alpha and Beta module to complement your research on Siit Large. Note that the Siit Large Cap information on this page should be used as a complementary analysis to other Siit Large'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 Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
Siit Large 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.