Blackrock Advantage Global Fund Market Value
| MKGCX Fund | USD 27.94 0.08 0.29% |
| Symbol | Blackrock |
Blackrock Advantage '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 Blackrock Advantage'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 Blackrock Advantage.
| 06/01/2022 |
| 05/21/2024 |
If you would invest 0.00 in Blackrock Advantage on June 1, 2022 and sell it all today you would earn a total of 0.00 from holding Blackrock Advantage Global or generate 0.0% return on investment in Blackrock Advantage over 720 days. Blackrock Advantage is related to or competes with American Funds, American Funds, Capital World, Capital World, Capital World, Capital World, and Capital World. The advisor primarily intends to invest in equity securities or other financial instruments that are components of, or h... More
Blackrock Advantage 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 Blackrock Advantage'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 Blackrock Advantage Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6276 | |||
| Information Ratio | 0.0678 | |||
| Maximum Drawdown | 3.43 | |||
| Value At Risk | (1.00) | |||
| Potential Upside | 1.23 |
Blackrock Advantage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Advantage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Advantage's standard deviation. In reality, there are many statistical measures that can use Blackrock Advantage historical prices to predict the future Blackrock Advantage's volatility.| Risk Adjusted Performance | 0.1043 | |||
| Jensen Alpha | 0.1062 | |||
| Total Risk Alpha | 0.0323 | |||
| Sortino Ratio | 0.0759 | |||
| Treynor Ratio | 0.8334 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Blackrock Advantage'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.
Blackrock Advantage Backtested Returns
We consider Blackrock Advantage out of control. Blackrock Advantage secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the fund had a 0.18% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Blackrock Advantage Global, which you can use to evaluate the volatility of the entity. Please confirm Blackrock Advantage's mean deviation of 0.5617, and Risk Adjusted Performance of 0.1043 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. The fund shows a Beta (market volatility) of 0.14, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Blackrock Advantage's returns are expected to increase less than the market. However, during the bear market, the loss of holding Blackrock Advantage is expected to be smaller as well.
Auto-correlation | 0.67 |
Good predictability
Blackrock Advantage Global has good predictability. Overlapping area represents the amount of predictability between Blackrock Advantage time series from 1st of June 2022 to 27th of May 2023 and 27th of May 2023 to 21st of May 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 Blackrock Advantage price movement. The serial correlation of 0.67 indicates that around 67.0% of current Blackrock Advantage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 2.82 |
Blackrock Advantage lagged returns against current returns
Autocorrelation, which is Blackrock Advantage 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 Blackrock Advantage's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Advantage returns to help us make a trade decision. For example, suppose you find that Blackrock Advantage 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 |
Blackrock Advantage 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 Blackrock Advantage mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock Advantage mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Blackrock Advantage mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Advantage Lagged Returns
When evaluating Blackrock Advantage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Advantage mutual fund have on its future price. Blackrock Advantage 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, Blackrock Advantage autocorrelation shows the relationship between Blackrock Advantage mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Advantage Global.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Blackrock Advantage Correlation, Blackrock Advantage Volatility and Blackrock Advantage Alpha and Beta module to complement your research on Blackrock Advantage. Note that the Blackrock Advantage information on this page should be used as a complementary analysis to other Blackrock Advantage'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 ETFs module to find actively traded Exchange Traded Funds (ETF) from around the world.
Blackrock Advantage 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.