Mondrian International Value Fund Market Value
| MPIEX Fund | USD 15.71 0.10 0.64% |
| Symbol | Mondrian |
Mondrian International '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 Mondrian International'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 Mondrian International.
| 12/15/2022 |
| 12/04/2024 |
If you would invest 0.00 in Mondrian International on December 15, 2022 and sell it all today you would earn a total of 0.00 from holding Mondrian International Value or generate 0.0% return on investment in Mondrian International over 720 days. Mondrian International is related to or competes with William Blair, Johcm Emerging, Blackrock Advantage, Calvert International, and Oakmark International. The fund invests at least 80 percent of its net assets, plus any borrowings for investment purposes, in equity securitie... More
Mondrian International 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 Mondrian International'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 Mondrian International Value upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 3.58 | |||
| Value At Risk | (1.64) | |||
| Potential Upside | 0.9248 |
Mondrian International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mondrian International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mondrian International's standard deviation. In reality, there are many statistical measures that can use Mondrian International historical prices to predict the future Mondrian International's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.19) | |||
| Treynor Ratio | (0.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mondrian International'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.
Mondrian International Backtested Returns
Mondrian International has Sharpe Ratio of -0.0922, which conveys that the entity had a -0.0922% return per unit of risk over the last 3 months. Mondrian International exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please verify Mondrian International's Risk Adjusted Performance of (0.07), standard deviation of 0.7863, and Mean Deviation of 0.6411 to check out the risk estimate we provide. The fund secures a Beta (Market Risk) of 0.27, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mondrian International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mondrian International is expected to be smaller as well.
Auto-correlation | 0.39 |
Below average predictability
Mondrian International Value has below average predictability. Overlapping area represents the amount of predictability between Mondrian International time series from 15th of December 2022 to 10th of December 2023 and 10th of December 2023 to 4th 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 Mondrian International price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Mondrian International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.39 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.57 |
Mondrian International lagged returns against current returns
Autocorrelation, which is Mondrian International 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 Mondrian International's mutual fund expected returns. We can calculate the autocorrelation of Mondrian International returns to help us make a trade decision. For example, suppose you find that Mondrian International 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 |
Mondrian International 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 Mondrian International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mondrian International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mondrian International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mondrian International Lagged Returns
When evaluating Mondrian International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mondrian International mutual fund have on its future price. Mondrian International 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, Mondrian International autocorrelation shows the relationship between Mondrian International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mondrian International Value.
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 Mondrian Mutual Fund
Mondrian International financial ratios help investors to determine whether Mondrian 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 Mondrian with respect to the benefits of owning Mondrian International security.
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