Amg Yacktman Focused Fund Market Value
| YAFFX Fund | USD 20.99 0.05 0.24% |
| Symbol | Amg |
Amg Yacktman '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 Amg Yacktman'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 Amg Yacktman.
| 03/21/2024 |
| 04/20/2024 |
If you would invest 0.00 in Amg Yacktman on March 21, 2024 and sell it all today you would earn a total of 0.00 from holding Amg Yacktman Focused or generate 0.0% return on investment in Amg Yacktman over 30 days. Amg Yacktman is related to or competes with Amg Yacktman, Permanent Portfolio, Oakmark International, Intrepid Endurance, and Matthews Asia. The fund invests primarily in domestic and foreign equity securities More
Amg Yacktman 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 Amg Yacktman'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 Amg Yacktman Focused upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8055 | |||
| Information Ratio | 0.056 | |||
| Maximum Drawdown | 3.76 | |||
| Value At Risk | (1.04) | |||
| Potential Upside | 1.08 |
Amg Yacktman Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Amg Yacktman's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Amg Yacktman's standard deviation. In reality, there are many statistical measures that can use Amg Yacktman historical prices to predict the future Amg Yacktman's volatility.| Risk Adjusted Performance | 0.1175 | |||
| Jensen Alpha | 0.0562 | |||
| Total Risk Alpha | 0.0331 | |||
| Sortino Ratio | 0.0437 | |||
| Treynor Ratio | 0.1531 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Amg Yacktman'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.
Amg Yacktman Focused Backtested Returns
We consider Amg Yacktman very steady. Amg Yacktman Focused secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the fund had a 0.17% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Amg Yacktman Focused, which you can use to evaluate the volatility of the entity. Please confirm Amg Yacktman's mean deviation of 0.4413, and Risk Adjusted Performance of 0.1175 to double-check if the risk estimate we provide is consistent with the expected return of 0.1%. The fund shows a Beta (market volatility) of 0.72, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Amg Yacktman's returns are expected to increase less than the market. However, during the bear market, the loss of holding Amg Yacktman is expected to be smaller as well.
Auto-correlation | -0.7 |
Very good reverse predictability
Amg Yacktman Focused has very good reverse predictability. Overlapping area represents the amount of predictability between Amg Yacktman time series from 21st of March 2024 to 5th of April 2024 and 5th of April 2024 to 20th 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 Amg Yacktman Focused price movement. The serial correlation of -0.7 indicates that around 70.0% of current Amg Yacktman price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.7 | |
| Spearman Rank Test | -0.75 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Amg Yacktman Focused lagged returns against current returns
Autocorrelation, which is Amg Yacktman 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 Amg Yacktman's mutual fund expected returns. We can calculate the autocorrelation of Amg Yacktman returns to help us make a trade decision. For example, suppose you find that Amg Yacktman 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 |
Amg Yacktman 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 Amg Yacktman mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Amg Yacktman mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Amg Yacktman mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Amg Yacktman Lagged Returns
When evaluating Amg Yacktman's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Amg Yacktman mutual fund have on its future price. Amg Yacktman 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, Amg Yacktman autocorrelation shows the relationship between Amg Yacktman mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Amg Yacktman Focused.
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 Amg Yacktman 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, Amg Yacktman's short interest history, or implied volatility extrapolated from Amg Yacktman options trading.
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Amg Yacktman Correlation, Amg Yacktman Volatility and Amg Yacktman Alpha and Beta module to complement your research on Amg Yacktman. Note that the Amg Yacktman Focused information on this page should be used as a complementary analysis to other Amg Yacktman'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.
Amg Yacktman 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.