International Fund I Fund Market Value
| PRPPX Fund | USD 13.86 0.02 0.14% |
| Symbol | International |
International Fund '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 Fund'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 Fund.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in International Fund on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding International Fund I or generate 0.0% return on investment in International Fund over 30 days. International Fund is related to or competes with Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, International Equity, and Strategic Asset. The fund invests primarily in foreign equity securities, including emerging market securities More
International Fund 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 Fund'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 Fund I upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.687 | |||
| Information Ratio | 0.0374 | |||
| Maximum Drawdown | 2.97 | |||
| Value At Risk | (1.04) | |||
| Potential Upside | 1.23 |
International Fund Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for International Fund's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as International Fund's standard deviation. In reality, there are many statistical measures that can use International Fund historical prices to predict the future International Fund's volatility.| Risk Adjusted Performance | 0.0875 | |||
| Jensen Alpha | 0.0295 | |||
| Total Risk Alpha | 0.0204 | |||
| Sortino Ratio | 0.0362 | |||
| Treynor Ratio | 0.0906 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of International Fund'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.
International Fund Backtested Returns
We consider International Fund very steady. International Fund holds Efficiency (Sharpe) Ratio of 0.14, which attests that the entity had a 0.14% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for International Fund, which you can use to evaluate the volatility of the entity. Please check out International Fund's Downside Deviation of 0.687, risk adjusted performance of 0.0875, and Market Risk Adjusted Performance of 0.1006 to validate if the risk estimate we provide is consistent with the expected return of 0.0893%. The fund retains a Market Volatility (i.e., Beta) of 0.92, which attests to possible diversification benefits within a given portfolio. International Fund returns are very sensitive to returns on the market. As the market goes up or down, International Fund is expected to follow.
Auto-correlation | 0.67 |
Good predictability
International Fund I has good predictability. Overlapping area represents the amount of predictability between International Fund time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 International Fund price movement. The serial correlation of 0.67 indicates that around 67.0% of current International Fund price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
International Fund lagged returns against current returns
Autocorrelation, which is International Fund 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 Fund's mutual fund expected returns. We can calculate the autocorrelation of International Fund returns to help us make a trade decision. For example, suppose you find that International Fund 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 Fund 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 Fund mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if International Fund 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 Fund mutual fund over time.
Current vs Lagged Prices |
| Timeline |
International Fund Lagged Returns
When evaluating International Fund's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of International Fund mutual fund have on its future price. International Fund 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 Fund autocorrelation shows the relationship between International Fund mutual fund current value and its past values and can show if there is a momentum factor associated with investing in International Fund I.
Regressed Prices |
| Timeline |
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Check out International Fund Correlation, International Fund Volatility and International Fund Alpha and Beta module to complement your research on International Fund. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
International Fund 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.