Global Equity Fund Market Value
| JGEFX Fund | USD 12.81 0.07 0.54% |
| Symbol | Global |
Global Equity '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 Equity'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 Equity.
| 01/22/2023 |
| 04/16/2024 |
If you would invest 0.00 in Global Equity on January 22, 2023 and sell it all today you would earn a total of 0.00 from holding Global Equity Fund or generate 0.0% return on investment in Global Equity over 450 days. Global Equity is related to or competes with Regional Bank, Regional Bank, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, Multimanager Lifestyle, and Multimanager Lifestyle. The fund seeks to generate capital appreciation by investing at least 80 percent of net assets in a diversified portfoli... More
Global Equity 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 Equity'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 Equity Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6227 | |||
| Information Ratio | 0.0803 | |||
| Maximum Drawdown | 2.6 | |||
| Value At Risk | (0.98) | |||
| Potential Upside | 0.8641 |
Global Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Equity's standard deviation. In reality, there are many statistical measures that can use Global Equity historical prices to predict the future Global Equity's volatility.| Risk Adjusted Performance | 0.1224 | |||
| Jensen Alpha | 0.0554 | |||
| Total Risk Alpha | 0.0507 | |||
| Sortino Ratio | 0.0687 | |||
| Treynor Ratio | 0.1255 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Global Equity'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 Equity Backtested Returns
We consider Global Equity very steady. Global Equity holds Efficiency (Sharpe) Ratio of 0.23, which attests that the entity had a 0.23% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Global Equity, which you can use to evaluate the volatility of the entity. Please check out Global Equity's Market Risk Adjusted Performance of 0.1355, risk adjusted performance of 0.1224, and Downside Deviation of 0.6227 to validate if the risk estimate we provide is consistent with the expected return of 0.12%. The fund retains a Market Volatility (i.e., Beta) of 0.76, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Global Equity's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global Equity is expected to be smaller as well.
Auto-correlation | 0.91 |
Excellent predictability
Global Equity Fund has excellent predictability. Overlapping area represents the amount of predictability between Global Equity time series from 22nd of January 2023 to 4th of September 2023 and 4th of September 2023 to 16th 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 Global Equity price movement. The serial correlation of 0.91 indicates that approximately 91.0% of current Global Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.91 | |
| Spearman Rank Test | 0.9 | |
| Residual Average | 0.0 | |
| Price Variance | 0.53 |
Global Equity lagged returns against current returns
Autocorrelation, which is Global Equity 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 Equity's mutual fund expected returns. We can calculate the autocorrelation of Global Equity returns to help us make a trade decision. For example, suppose you find that Global Equity 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 Equity 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 Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Equity 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 Equity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Equity Lagged Returns
When evaluating Global Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Equity mutual fund have on its future price. Global Equity 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 Equity autocorrelation shows the relationship between Global Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Equity Fund.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Global Equity Correlation, Global Equity Volatility and Global Equity Alpha and Beta module to complement your research on Global Equity. Note that the Global Equity information on this page should be used as a complementary analysis to other Global Equity'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 Commodity Directory module to find actively traded commodities issued by global exchanges.
Global Equity 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.