Global Absolute Return Fund Market Value
| JHACX Fund | USD 10.08 0.03 0.30% |
| Symbol | Global |
Global Absolute '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 Absolute'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 Absolute.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Global Absolute on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Global Absolute Return or generate 0.0% return on investment in Global Absolute over 30 days. Global Absolute is related to or competes with Regional Bank, Regional Bank, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, and Multimanager Lifestyle. The fund may use an extensive range of investment strategies and invest in a wide spectrum of equity and fixed-income se... More
Global Absolute 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 Absolute'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 Absolute Return upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3641 | |||
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 1.2 | |||
| Value At Risk | (0.50) | |||
| Potential Upside | 0.603 |
Global Absolute Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Absolute's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Absolute's standard deviation. In reality, there are many statistical measures that can use Global Absolute historical prices to predict the future Global Absolute's volatility.| Risk Adjusted Performance | 0.0648 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.28) | |||
| Treynor Ratio | 0.1149 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Global Absolute'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.
Global Absolute Return Backtested Returns
At this stage we consider Global Mutual Fund to be very steady. Global Absolute Return holds Efficiency (Sharpe) Ratio of 0.0671, which attests that the entity had a 0.0671% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Global Absolute Return, which you can use to evaluate the volatility of the entity. Please check out Global Absolute's Downside Deviation of 0.3641, risk adjusted performance of 0.0648, and Market Risk Adjusted Performance of 0.1249 to validate if the risk estimate we provide is consistent with the expected return of 0.0224%. The fund retains a Market Volatility (i.e., Beta) of 0.21, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Global Absolute's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global Absolute is expected to be smaller as well.
Auto-correlation | 0.96 |
Excellent predictability
Global Absolute Return has excellent predictability. Overlapping area represents the amount of predictability between Global Absolute time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Global Absolute Return price movement. The serial correlation of 0.96 indicates that 96.0% of current Global Absolute price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.96 | |
| Spearman Rank Test | 0.87 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Global Absolute Return lagged returns against current returns
Autocorrelation, which is Global Absolute 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 Absolute's mutual fund expected returns. We can calculate the autocorrelation of Global Absolute returns to help us make a trade decision. For example, suppose you find that Global Absolute 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 Absolute 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 Absolute mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Absolute 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 Absolute mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Absolute Lagged Returns
When evaluating Global Absolute's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Absolute mutual fund have on its future price. Global Absolute 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 Absolute autocorrelation shows the relationship between Global Absolute mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Absolute Return.
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 Absolute 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 Absolute security.
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