Deutsche Global Small Fund Market Value
| SGSCX Fund | USD 29.01 0.26 0.89% |
| Symbol | Deutsche |
Deutsche 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 Deutsche 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 Deutsche Global.
| 05/30/2022 |
| 04/19/2024 |
If you would invest 0.00 in Deutsche Global on May 30, 2022 and sell it all today you would earn a total of 0.00 from holding Deutsche Global Small or generate 0.0% return on investment in Deutsche Global over 690 days. Deutsche Global is related to or competes with Ab Bond, Ab Bond, T Rowe, and Artisan High. The fund invests at least 80 percent of net assets, plus the amount of any borrowings for investment purposes, in common... More
Deutsche 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 Deutsche 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 Deutsche Global Small upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 3.96 | |||
| Value At Risk | (1.65) | |||
| Potential Upside | 1.47 |
Deutsche Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deutsche Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deutsche Global's standard deviation. In reality, there are many statistical measures that can use Deutsche Global historical prices to predict the future Deutsche Global's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.13) | |||
| Treynor Ratio | (0.03) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deutsche 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.
Deutsche Global Small Backtested Returns
Deutsche Global Small secures Sharpe Ratio (or Efficiency) of -0.0338, which denotes the fund had a -0.0338% return per unit of risk over the last 3 months. Deutsche Global Small exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Deutsche Global's Mean Deviation of 0.7598, variance of 0.889, and Standard Deviation of 0.9428 to check the risk estimate we provide. The fund shows a Beta (market volatility) of 1.29, which means a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Deutsche Global will likely underperform.
Auto-correlation | 0.44 |
Average predictability
Deutsche Global Small has average predictability. Overlapping area represents the amount of predictability between Deutsche Global time series from 30th of May 2022 to 10th of May 2023 and 10th of May 2023 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 Deutsche Global Small price movement. The serial correlation of 0.44 indicates that just about 44.0% of current Deutsche Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.44 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 3.14 |
Deutsche Global Small lagged returns against current returns
Autocorrelation, which is Deutsche 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 Deutsche Global's mutual fund expected returns. We can calculate the autocorrelation of Deutsche Global returns to help us make a trade decision. For example, suppose you find that Deutsche 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 |
Deutsche 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 Deutsche Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deutsche 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 Deutsche Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Deutsche Global Lagged Returns
When evaluating Deutsche Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deutsche Global mutual fund have on its future price. Deutsche 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, Deutsche Global autocorrelation shows the relationship between Deutsche Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Deutsche Global Small.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Deutsche Global Correlation, Deutsche Global Volatility and Deutsche Global Alpha and Beta module to complement your research on Deutsche Global. Note that the Deutsche Global Small information on this page should be used as a complementary analysis to other Deutsche 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 Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
Deutsche 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.