Global Managed Volatility Fund Market Value
| UGOFX Fund | USD 11.66 0.04 0.34% |
| Symbol | Global |
Global Managed '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 Managed'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 Managed.
| 08/25/2024 |
| 11/23/2024 |
If you would invest 0.00 in Global Managed on August 25, 2024 and sell it all today you would earn a total of 0.00 from holding Global Managed Volatility or generate 0.0% return on investment in Global Managed over 90 days. Global Managed is related to or competes with T Rowe, Maryland Tax-free, Mirova Global, Gmo Emerging, Fundvantage Trust, and California Bond. The funds principal strategy is to combine a portfolio of domestic and foreign equity securities, including emerging mar... More
Global Managed 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 Managed'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 Managed Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6729 | |||
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 2.87 | |||
| Value At Risk | (1.12) | |||
| Potential Upside | 0.9892 |
Global Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Managed's standard deviation. In reality, there are many statistical measures that can use Global Managed historical prices to predict the future Global Managed's volatility.| Risk Adjusted Performance | 0.045 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.14) | |||
| Treynor Ratio | 0.0468 |
Global Managed Volatility Backtested Returns
At this stage we consider Global Mutual Fund to be very steady. Global Managed Volatility holds Efficiency (Sharpe) Ratio of 0.0395, which attests that the entity had a 0.0395% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Global Managed Volatility, which you can use to evaluate the volatility of the entity. Please check out Global Managed's Market Risk Adjusted Performance of 0.0568, downside deviation of 0.6729, and Risk Adjusted Performance of 0.045 to validate if the risk estimate we provide is consistent with the expected return of 0.0245%. The fund retains a Market Volatility (i.e., Beta) of 0.61, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Global Managed's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global Managed is expected to be smaller as well.
Auto-correlation | -0.02 |
Very weak reverse predictability
Global Managed Volatility has very weak reverse predictability. Overlapping area represents the amount of predictability between Global Managed time series from 25th of August 2024 to 9th of October 2024 and 9th of October 2024 to 23rd 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 Managed Volatility price movement. The serial correlation of -0.02 indicates that only 2.0% of current Global Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.02 | |
| Spearman Rank Test | -0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Global Managed Volatility lagged returns against current returns
Autocorrelation, which is Global Managed 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 Managed's mutual fund expected returns. We can calculate the autocorrelation of Global Managed returns to help us make a trade decision. For example, suppose you find that Global Managed 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 Managed 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 Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Managed 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 Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Managed Lagged Returns
When evaluating Global Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Managed mutual fund have on its future price. Global Managed 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 Managed autocorrelation shows the relationship between Global Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Managed Volatility.
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 Managed 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 Managed security.
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