International Value Fund Market Value
| MEQAX Fund | USD 8.90 0.11 1.25% |
| Symbol | International |
International Value '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 International Value'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 International Value.
| 11/02/2024 |
| 12/02/2024 |
If you would invest 0.00 in International Value on November 2, 2024 and sell it all today you would earn a total of 0.00 from holding International Value Fund or generate 0.0% return on investment in International Value over 30 days. International Value is related to or competes with Ultra-short Fixed, Us Strategic, The Hartford, Rbc Global, Ab Select, Gmo Global, and Jpmorgan Equity. In selecting stocks for the fund, the portfolio managers will normally invest at least 65 percent of net assets in secur... More
International Value 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 International Value'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 International Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 3.6 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 1.09 |
International Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for International Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as International Value's standard deviation. In reality, there are many statistical measures that can use International Value historical prices to predict the future International Value's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | (0.16) |
International Value Backtested Returns
International Value holds Efficiency (Sharpe) Ratio of -0.0522, which attests that the entity had a -0.0522% return per unit of risk over the last 3 months. International Value exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out International Value's Standard Deviation of 0.824, risk adjusted performance of (0.05), and Market Risk Adjusted Performance of (0.15) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.4, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, International Value's returns are expected to increase less than the market. However, during the bear market, the loss of holding International Value is expected to be smaller as well.
Auto-correlation | 0.19 |
Very weak predictability
International Value Fund has very weak predictability. Overlapping area represents the amount of predictability between International Value time series from 2nd of November 2024 to 17th of November 2024 and 17th of November 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 International Value price movement. The serial correlation of 0.19 indicates that over 19.0% of current International Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
International Value lagged returns against current returns
Autocorrelation, which is International Value 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 International Value's mutual fund expected returns. We can calculate the autocorrelation of International Value returns to help us make a trade decision. For example, suppose you find that International Value 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 |
International Value 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 International Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if International Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in International Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
International Value Lagged Returns
When evaluating International Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of International Value mutual fund have on its future price. International Value 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, International Value autocorrelation shows the relationship between International Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in International Value Fund.
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 International Mutual Fund
International Value financial ratios help investors to determine whether International 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 International with respect to the benefits of owning International Value security.
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