Parametric Intl Equity Fund Market Value
| ESISX Fund | USD 14.70 0.11 0.75% |
| Symbol | Parametric |
Parametric Intl '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 Parametric Intl'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 Parametric Intl.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Parametric Intl on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Parametric Intl Equity or generate 0.0% return on investment in Parametric Intl over 30 days. Parametric Intl is related to or competes with Deutsche Health, Invesco Global, Prudential Health, Health Care, Baillie Gifford, and Hartford Healthcare. Under normal market conditions, the fund invests at least 80 percent of its net assets in a diversified portfolio of equ... More
Parametric Intl 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 Parametric Intl'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 Parametric Intl Equity upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.30) | |||
| Maximum Drawdown | 3.91 | |||
| Value At Risk | (1.23) | |||
| Potential Upside | 0.8696 |
Parametric Intl Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Parametric Intl's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Parametric Intl's standard deviation. In reality, there are many statistical measures that can use Parametric Intl historical prices to predict the future Parametric Intl's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | (0.37) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Parametric Intl'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.
Parametric Intl Equity Backtested Returns
Parametric Intl Equity maintains Sharpe Ratio (i.e., Efficiency) of -0.0993, which implies the entity had a -0.0993% return per unit of risk over the last 3 months. Parametric Intl Equity exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Parametric Intl's Variance of 0.5084, risk adjusted performance of (0.09), and Coefficient Of Variation of (824.15) to confirm the risk estimate we provide. The fund holds a Beta of 0.26, which implies not very significant fluctuations relative to the market. As returns on the market increase, Parametric Intl's returns are expected to increase less than the market. However, during the bear market, the loss of holding Parametric Intl is expected to be smaller as well.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
Parametric Intl Equity has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Parametric Intl time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 Parametric Intl Equity price movement. The serial correlation of -0.75 indicates that around 75.0% of current Parametric Intl price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Parametric Intl Equity lagged returns against current returns
Autocorrelation, which is Parametric Intl 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 Parametric Intl's mutual fund expected returns. We can calculate the autocorrelation of Parametric Intl returns to help us make a trade decision. For example, suppose you find that Parametric Intl 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 |
Parametric Intl 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 Parametric Intl mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Parametric Intl mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Parametric Intl mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Parametric Intl Lagged Returns
When evaluating Parametric Intl's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Parametric Intl mutual fund have on its future price. Parametric Intl 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, Parametric Intl autocorrelation shows the relationship between Parametric Intl mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Parametric Intl Equity.
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 Parametric Mutual Fund
Parametric Intl financial ratios help investors to determine whether Parametric 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 Parametric with respect to the benefits of owning Parametric Intl security.
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