Value Fund Investor Fund Market Value
| TWVLX Fund | USD 7.86 0.03 0.38% |
| Symbol | Value |
Value Fund '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 Value Fund'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 Value Fund.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Value Fund on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Value Fund Investor or generate 0.0% return on investment in Value Fund over 30 days. Value Fund is related to or competes with Mid Cap, Diversified Bond, Short Term, Select Fund, Select Fund, Growth Fund, and Short Term. In selecting stocks for the fund, the portfolio managers look for companies of all sizes whose stock price may not refle... More
Value Fund 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 Value Fund'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 Value Fund Investor upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7073 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 3.22 | |||
| Value At Risk | (0.90) | |||
| Potential Upside | 0.7823 |
Value Fund Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Value Fund's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Value Fund's standard deviation. In reality, there are many statistical measures that can use Value Fund historical prices to predict the future Value Fund's volatility.| Risk Adjusted Performance | 0.0295 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0234 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Value Fund'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.
Value Fund Investor Backtested Returns
We consider Value Fund very steady. Value Fund Investor owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0403, which indicates the fund had a 0.0403% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Value Fund Investor, which you can use to evaluate the volatility of the fund. Please validate Value Fund's Risk Adjusted Performance of 0.0295, semi deviation of 0.6008, and Coefficient Of Variation of 2074.57 to confirm if the risk estimate we provide is consistent with the expected return of 0.0241%. The entity has a beta of 0.81, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Value Fund's returns are expected to increase less than the market. However, during the bear market, the loss of holding Value Fund is expected to be smaller as well.
Auto-correlation | -0.61 |
Very good reverse predictability
Value Fund Investor has very good reverse predictability. Overlapping area represents the amount of predictability between Value Fund 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 Value Fund Investor price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Value Fund price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Value Fund Investor lagged returns against current returns
Autocorrelation, which is Value Fund 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 Value Fund's mutual fund expected returns. We can calculate the autocorrelation of Value Fund returns to help us make a trade decision. For example, suppose you find that Value Fund 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 |
Value Fund 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 Value Fund mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Value Fund mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Value Fund mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Value Fund Lagged Returns
When evaluating Value Fund's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Value Fund mutual fund have on its future price. Value Fund 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, Value Fund autocorrelation shows the relationship between Value Fund mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Value Fund Investor.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Value Fund Correlation, Value Fund Volatility and Value Fund Alpha and Beta module to complement your research on Value Fund. You can also try the CEOs Directory module to screen CEOs from public companies around the world.
Value Fund 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.