Saturna Sustainable Equity Fund Market Value
| SEEFX Fund | USD 18.12 0.11 0.61% |
| Symbol | Saturna |
Saturna Sustainable '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 Saturna Sustainable'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 Saturna Sustainable.
| 04/02/2024 |
| 05/02/2024 |
If you would invest 0.00 in Saturna Sustainable on April 2, 2024 and sell it all today you would earn a total of 0.00 from holding Saturna Sustainable Equity or generate 0.0% return on investment in Saturna Sustainable over 30 days. Saturna Sustainable is related to or competes with Saturna Sustainable, Blackrock High, Gabelli Equity, Matthews Asian, Jpmorgan Equity, and T Rowe. The fund invests at least 80 percent of its net assets in equities of issuers located throughout the world that the fund... More
Saturna Sustainable 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 Saturna Sustainable'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 Saturna Sustainable Equity upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 3.33 | |||
| Value At Risk | (1.12) | |||
| Potential Upside | 1.39 |
Saturna Sustainable Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Saturna Sustainable's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Saturna Sustainable's standard deviation. In reality, there are many statistical measures that can use Saturna Sustainable historical prices to predict the future Saturna Sustainable's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.06) | |||
| Treynor Ratio | (0.28) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Saturna Sustainable'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.
Saturna Sustainable Backtested Returns
Saturna Sustainable owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0166, which indicates the fund had a -0.0166% return per unit of risk over the last 3 months. Saturna Sustainable Equity exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Saturna Sustainable's Variance of 0.5117, risk adjusted performance of (0), and Coefficient Of Variation of (28,343) to confirm the risk estimate we provide. The entity has a beta of 0.0448, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Saturna Sustainable's returns are expected to increase less than the market. However, during the bear market, the loss of holding Saturna Sustainable is expected to be smaller as well.
Auto-correlation | -0.42 |
Modest reverse predictability
Saturna Sustainable Equity has modest reverse predictability. Overlapping area represents the amount of predictability between Saturna Sustainable time series from 2nd of April 2024 to 17th of April 2024 and 17th of April 2024 to 2nd of May 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 Saturna Sustainable price movement. The serial correlation of -0.42 indicates that just about 42.0% of current Saturna Sustainable price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.42 | |
| Spearman Rank Test | -0.72 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Saturna Sustainable lagged returns against current returns
Autocorrelation, which is Saturna Sustainable 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 Saturna Sustainable's mutual fund expected returns. We can calculate the autocorrelation of Saturna Sustainable returns to help us make a trade decision. For example, suppose you find that Saturna Sustainable 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 |
Saturna Sustainable 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 Saturna Sustainable mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Saturna Sustainable mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Saturna Sustainable mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Saturna Sustainable Lagged Returns
When evaluating Saturna Sustainable's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Saturna Sustainable mutual fund have on its future price. Saturna Sustainable 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, Saturna Sustainable autocorrelation shows the relationship between Saturna Sustainable mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Saturna Sustainable Equity.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Saturna Sustainable Correlation, Saturna Sustainable Volatility and Saturna Sustainable Alpha and Beta module to complement your research on Saturna Sustainable. Note that the Saturna Sustainable information on this page should be used as a complementary analysis to other Saturna Sustainable'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 Equity Forecasting module to use basic forecasting models to generate price predictions and determine price momentum.
Saturna Sustainable 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.