International Equity Portfolio Fund Market Value
| SIECX Fund | USD 9.83 0.10 1.03% |
| Symbol | International |
International 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 International 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 International Equity.
| 07/04/2022 |
| 04/24/2024 |
If you would invest 0.00 in International Equity on July 4, 2022 and sell it all today you would earn a total of 0.00 from holding International Equity Portfolio or generate 0.0% return on investment in International Equity over 660 days. International Equity is related to or competes with Vanguard Total, Vanguard Developed, Vanguard Developed, and Fidelity International. The fund will normally invest at least 80 percent of its total assets in the equity securities of companies located outs... More
International 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 International 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 International Equity Portfolio upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6773 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.04 | |||
| Value At Risk | (1.25) | |||
| Potential Upside | 1.04 |
International Equity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for International Equity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as International Equity's standard deviation. In reality, there are many statistical measures that can use International Equity historical prices to predict the future International Equity's volatility.| Risk Adjusted Performance | 0.0613 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0626 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of International 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.
International Equity Backtested Returns
We consider International Equity very steady. International Equity holds Efficiency (Sharpe) Ratio of 0.0877, which attests that the entity had a 0.0877% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for International Equity, which you can use to evaluate the volatility of the entity. Please check out International Equity's Risk Adjusted Performance of 0.0613, downside deviation of 0.6773, and Market Risk Adjusted Performance of 0.0726 to validate if the risk estimate we provide is consistent with the expected return of 0.0544%. The fund retains a Market Volatility (i.e., Beta) of 0.8, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, International Equity's returns are expected to increase less than the market. However, during the bear market, the loss of holding International Equity is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
International Equity Portfolio has average predictability. Overlapping area represents the amount of predictability between International Equity time series from 4th of July 2022 to 30th of May 2023 and 30th of May 2023 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 International Equity price movement. The serial correlation of 0.47 indicates that about 47.0% of current International Equity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
International Equity lagged returns against current returns
Autocorrelation, which is International 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 International Equity's mutual fund expected returns. We can calculate the autocorrelation of International Equity returns to help us make a trade decision. For example, suppose you find that International 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 |
International 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 International Equity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if International 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 International Equity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
International Equity Lagged Returns
When evaluating International Equity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of International Equity mutual fund have on its future price. International 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, International Equity autocorrelation shows the relationship between International Equity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in International Equity Portfolio.
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 International Equity 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, International Equity's short interest history, or implied volatility extrapolated from International Equity options trading.
Currently Active Assets on Macroaxis
Check out International Equity Correlation, International Equity Volatility and International Equity Alpha and Beta module to complement your research on International Equity. Note that the International Equity information on this page should be used as a complementary analysis to other International 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 Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
International 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.