Mawer Global Equity Fund Market Value
| MAW120 Fund | 49.42 0.01 0.02% |
| Symbol | Mawer |
Mawer Global '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 Mawer Global's 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 Mawer Global.
| 06/12/2023 |
| 12/03/2024 |
If you would invest 0.00 in Mawer Global on June 12, 2023 and sell it all today you would earn a total of 0.00 from holding Mawer Global Equity or generate 0.0% return on investment in Mawer Global over 540 days.
Mawer Global 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 Mawer Global's 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 Mawer Global Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5648 | |||
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 2.67 | |||
| Value At Risk | (0.91) | |||
| Potential Upside | 0.8295 |
Mawer Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mawer Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mawer Global's standard deviation. In reality, there are many statistical measures that can use Mawer Global historical prices to predict the future Mawer Global's volatility.| Risk Adjusted Performance | 0.0486 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.15) | |||
| Treynor Ratio | 0.08 |
Mawer Global Equity Backtested Returns
At this point, Mawer Global is very steady. Mawer Global Equity has Sharpe Ratio of 0.0885, which conveys that the entity had a 0.0885% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Mawer Global, which you can use to evaluate the volatility of the fund. Please verify Mawer Global's Downside Deviation of 0.5648, risk adjusted performance of 0.0486, and Mean Deviation of 0.4283 to check out if the risk estimate we provide is consistent with the expected return of 0.0496%. The fund secures a Beta (Market Risk) of 0.35, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Mawer Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mawer Global is expected to be smaller as well.
Auto-correlation | 0.69 |
Good predictability
Mawer Global Equity has good predictability. Overlapping area represents the amount of predictability between Mawer Global time series from 12th of June 2023 to 8th of March 2024 and 8th of March 2024 to 3rd of December 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 Mawer Global Equity price movement. The serial correlation of 0.69 indicates that around 69.0% of current Mawer Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.84 |
Mawer Global Equity lagged returns against current returns
Autocorrelation, which is Mawer Global 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 Mawer Global's fund expected returns. We can calculate the autocorrelation of Mawer Global returns to help us make a trade decision. For example, suppose you find that Mawer Global has exhibited high autocorrelation historically, and you observe that the 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 |
Mawer Global 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 Mawer Global fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mawer Global fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mawer Global fund over time.
Current vs Lagged Prices |
| Timeline |
Mawer Global Lagged Returns
When evaluating Mawer Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mawer Global fund have on its future price. Mawer Global 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, Mawer Global autocorrelation shows the relationship between Mawer Global fund current value and its past values and can show if there is a momentum factor associated with investing in Mawer Global Equity.
Regressed Prices |
| Timeline |
Pair Trading with Mawer Global
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Mawer Global position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Mawer Global will appreciate offsetting losses from the drop in the long position's value.Moving together with Mawer Fund
| 0.66 | 0P0000706A | RBC Select Balanced | PairCorr |
| 0.65 | 0P00007069 | RBC Portefeuille | PairCorr |
| 0.71 | 0P0000IUYO | Edgepoint Global Por | PairCorr |
| 0.78 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
| 0.71 | 0P00012UCU | RBC Global Equity | PairCorr |
The ability to find closely correlated positions to Mawer Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Mawer Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Mawer Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Mawer Global Equity to buy it.
The correlation of Mawer Global is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Mawer Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Mawer Global Equity moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Mawer Global can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.| Portfolio Optimization Compute new portfolio that will generate highest expected return given your specified tolerance for risk | |
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