Global Strategist Portfolio Fund Market Value
| MPBAX Fund | USD 18.68 0.01 0.05% |
| Symbol | Global |
Global Strategist '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 Global Strategist'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 Global Strategist.
| 12/08/2023 |
| 12/02/2024 |
If you would invest 0.00 in Global Strategist on December 8, 2023 and sell it all today you would earn a total of 0.00 from holding Global Strategist Portfolio or generate 0.0% return on investment in Global Strategist over 360 days. Global Strategist is related to or competes with Harbor Capital, Icm Small, Europacific Growth, and Total Return. The fund seeks to achieve its investment objective by investing primarily in a blend of equity and fixed income securiti... More
Global Strategist 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 Global Strategist'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 Global Strategist Portfolio upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4297 | |||
| Information Ratio | (0.27) | |||
| Maximum Drawdown | 1.95 | |||
| Value At Risk | (0.70) | |||
| Potential Upside | 0.6515 |
Global Strategist Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Strategist's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Strategist's standard deviation. In reality, there are many statistical measures that can use Global Strategist historical prices to predict the future Global Strategist's volatility.| Risk Adjusted Performance | 0.0352 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.26) | |||
| Treynor Ratio | 0.0393 |
Global Strategist Backtested Returns
At this stage we consider Global Mutual Fund to be very steady. Global Strategist holds Efficiency (Sharpe) Ratio of 0.0901, which attests that the entity had a 0.0901% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Global Strategist, which you can use to evaluate the volatility of the entity. Please check out Global Strategist's Downside Deviation of 0.4297, risk adjusted performance of 0.0352, and Market Risk Adjusted Performance of 0.0493 to validate if the risk estimate we provide is consistent with the expected return of 0.0363%. The fund retains a Market Volatility (i.e., Beta) of 0.35, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Global Strategist's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global Strategist is expected to be smaller as well.
Auto-correlation | 0.69 |
Good predictability
Global Strategist Portfolio has good predictability. Overlapping area represents the amount of predictability between Global Strategist time series from 8th of December 2023 to 5th of June 2024 and 5th of June 2024 to 2nd 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 Global Strategist price movement. The serial correlation of 0.69 indicates that around 69.0% of current Global Strategist price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Global Strategist lagged returns against current returns
Autocorrelation, which is Global Strategist 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 Global Strategist's mutual fund expected returns. We can calculate the autocorrelation of Global Strategist returns to help us make a trade decision. For example, suppose you find that Global Strategist 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 |
Global Strategist 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 Global Strategist mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Strategist mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Global Strategist mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Strategist Lagged Returns
When evaluating Global Strategist's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Strategist mutual fund have on its future price. Global Strategist 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, Global Strategist autocorrelation shows the relationship between Global Strategist mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Strategist Portfolio.
Regressed Prices |
| Timeline |
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.Other Information on Investing in Global Mutual Fund
Global Strategist financial ratios help investors to determine whether Global Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Global with respect to the benefits of owning Global Strategist security.
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