Siit Managed Volatility Fund Market Value
| SVYAX Fund | USD 11.45 0.03 0.26% |
| Symbol | Siit |
Siit Managed '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 Managed'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 Managed.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Siit Managed on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Siit Managed Volatility or generate 0.0% return on investment in Siit Managed over 30 days. Siit Managed is related to or competes with Edgewood Growth, Hartford Schroders, HUMANA, Morningstar Unconstrained, High Yield, Thrivent High, and Via Renewables. The fund will invest at least 80 percent of its net assets in equity securities of U.S More
Siit Managed 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 Managed'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 Managed Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5993 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 2.35 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.8014 |
Siit Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siit Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siit Managed's standard deviation. In reality, there are many statistical measures that can use Siit Managed historical prices to predict the future Siit Managed's volatility.| Risk Adjusted Performance | 0.0851 | |||
| Jensen Alpha | 0.0647 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (3.73) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siit Managed'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 Managed Volatility Backtested Returns
We consider Siit Managed very steady. Siit Managed Volatility owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.13, which indicates the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Siit Managed Volatility, which you can use to evaluate the volatility of the fund. Please validate Siit Managed's Coefficient Of Variation of 717.97, risk adjusted performance of 0.0851, and Semi Deviation of 0.4794 to confirm if the risk estimate we provide is consistent with the expected return of 0.069%. The entity has a beta of -0.017, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Siit Managed are expected to decrease at a much lower rate. During the bear market, Siit Managed is likely to outperform the market.
Auto-correlation | -0.6 |
Good reverse predictability
Siit Managed Volatility has good reverse predictability. Overlapping area represents the amount of predictability between Siit Managed time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Managed Volatility price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Siit Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Siit Managed Volatility lagged returns against current returns
Autocorrelation, which is Siit Managed 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 Managed's mutual fund expected returns. We can calculate the autocorrelation of Siit Managed returns to help us make a trade decision. For example, suppose you find that Siit Managed 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 Managed 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 Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siit Managed 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 Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Siit Managed Lagged Returns
When evaluating Siit Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siit Managed mutual fund have on its future price. Siit Managed 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 Managed autocorrelation shows the relationship between Siit Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Siit Managed Volatility.
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 Siit Managed 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, Siit Managed's short interest history, or implied volatility extrapolated from Siit Managed options trading.
Currently Active Assets on Macroaxis
Check out Siit Managed Correlation, Siit Managed Volatility and Siit Managed Alpha and Beta module to complement your research on Siit Managed. Note that the Siit Managed Volatility information on this page should be used as a complementary analysis to other Siit Managed'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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Siit Managed 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.