Artisan Global Value Fund Market Value
| APHGX Fund | USD 22.29 0.20 0.91% |
| Symbol | Artisan |
Artisan Global '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 Artisan Global'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 Artisan Global.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Artisan Global on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Artisan Global Value or generate 0.0% return on investment in Artisan Global over 30 days. Artisan Global is related to or competes with Artisan Global, Artisan International, Artisan Global, Poplar Forest, and Sands Capital. The funds investment team employs a fundamental investment process to construct a diversified portfolio of securities of... More
Artisan Global 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 Artisan Global'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 Artisan Global Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6264 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 2.12 | |||
| Value At Risk | (1.04) | |||
| Potential Upside | 0.7501 |
Artisan Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Artisan Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Artisan Global's standard deviation. In reality, there are many statistical measures that can use Artisan Global historical prices to predict the future Artisan Global's volatility.| Risk Adjusted Performance | 0.1033 | |||
| Jensen Alpha | 0.0218 | |||
| Total Risk Alpha | 0.0116 | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.1104 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Artisan Global'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.
Artisan Global Value Backtested Returns
We consider Artisan Global very steady. Artisan Global Value secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the fund had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Artisan Global Value, which you can use to evaluate the volatility of the entity. Please confirm Artisan Global's Mean Deviation of 0.3889, downside deviation of 0.6264, and Risk Adjusted Performance of 0.1033 to double-check if the risk estimate we provide is consistent with the expected return of 0.0823%. The fund shows a Beta (market volatility) of 0.7, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Artisan Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Artisan Global is expected to be smaller as well.
Auto-correlation | -0.3 |
Weak reverse predictability
Artisan Global Value has weak reverse predictability. Overlapping area represents the amount of predictability between Artisan Global time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th of April 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 Artisan Global Value price movement. The serial correlation of -0.3 indicates that nearly 30.0% of current Artisan Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.3 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Artisan Global Value lagged returns against current returns
Autocorrelation, which is Artisan Global 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 Artisan Global's mutual fund expected returns. We can calculate the autocorrelation of Artisan Global returns to help us make a trade decision. For example, suppose you find that Artisan Global 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 |
Artisan Global 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 Artisan Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Artisan Global mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Artisan Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Artisan Global Lagged Returns
When evaluating Artisan Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Artisan Global mutual fund have on its future price. Artisan Global 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, Artisan Global autocorrelation shows the relationship between Artisan Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Artisan Global Value.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Artisan Global in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Artisan Global's short interest history, or implied volatility extrapolated from Artisan Global options trading.
Pair Trading with Artisan Global
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Artisan Global position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Artisan Global will appreciate offsetting losses from the drop in the long position's value.Moving together with Artisan Mutual Fund
| 0.99 | APDNX | Artisan Select Equity | PairCorr |
| 0.76 | APHSX | Artisan Small Cap | PairCorr |
| 0.92 | APHRX | Artisan Global Oppor | PairCorr |
| 0.92 | APHKX | Artisan International | PairCorr |
| 0.85 | APHMX | Artisan Mid Cap | PairCorr |
The ability to find closely correlated positions to Artisan Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Artisan Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Artisan Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Artisan Global Value to buy it.
The correlation of Artisan Global is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Artisan Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Artisan Global Value moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Artisan Global can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Artisan Global Correlation, Artisan Global Volatility and Artisan Global Alpha and Beta module to complement your research on Artisan Global. Note that the Artisan Global Value information on this page should be used as a complementary analysis to other Artisan Global's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Price Ceiling Movement module to calculate and plot Price Ceiling Movement for different equity instruments.
Artisan Global technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.