Glenmede International Secured Fund Market Value
| NOVIX Fund | USD 5.42 0.02 0.37% |
| Symbol | Glenmede |
Glenmede International '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 Glenmede International'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 Glenmede International.
| 06/01/2022 |
| 05/21/2024 |
If you would invest 0.00 in Glenmede International on June 1, 2022 and sell it all today you would earn a total of 0.00 from holding Glenmede International Secured or generate 0.0% return on investment in Glenmede International over 720 days. Glenmede International is related to or competes with HUMANA, Barloworld, Morningstar Unconstrained, Thrivent High, High-yield Municipal, Via Renewables, and American Century. Under normal market circumstances, the Portfolio uses option writing strategies in an effort to obtain option premiums a... More
Glenmede International 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 Glenmede International'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 Glenmede International Secured upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4098 | |||
| Information Ratio | 0.0345 | |||
| Maximum Drawdown | 1.92 | |||
| Value At Risk | (0.57) | |||
| Potential Upside | 0.7648 |
Glenmede International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Glenmede International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Glenmede International's standard deviation. In reality, there are many statistical measures that can use Glenmede International historical prices to predict the future Glenmede International's volatility.| Risk Adjusted Performance | 0.1428 | |||
| Jensen Alpha | 0.0733 | |||
| Total Risk Alpha | 0.039 | |||
| Sortino Ratio | 0.029 | |||
| Treynor Ratio | 0.8293 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Glenmede International'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.
Glenmede International Backtested Returns
We consider Glenmede International very steady. Glenmede International holds Efficiency (Sharpe) Ratio of 0.26, which attests that the entity had a 0.26% return per unit of risk over the last 3 months. We have found twenty-six technical indicators for Glenmede International, which you can use to evaluate the volatility of the entity. Please check out Glenmede International's Coefficient Of Variation of 383.83, market risk adjusted performance of 0.8393, and Risk Adjusted Performance of 0.1428 to validate if the risk estimate we provide is consistent with the expected return of 0.091%. The fund retains a Market Volatility (i.e., Beta) of 0.0963, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Glenmede International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Glenmede International is expected to be smaller as well.
Auto-correlation | 0.84 |
Very good predictability
Glenmede International Secured has very good predictability. Overlapping area represents the amount of predictability between Glenmede International 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 Glenmede International price movement. The serial correlation of 0.84 indicates that around 84.0% of current Glenmede International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.84 | |
| Spearman Rank Test | 0.63 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Glenmede International lagged returns against current returns
Autocorrelation, which is Glenmede International 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 Glenmede International's mutual fund expected returns. We can calculate the autocorrelation of Glenmede International returns to help us make a trade decision. For example, suppose you find that Glenmede International 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 |
Glenmede International 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 Glenmede International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Glenmede International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Glenmede International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Glenmede International Lagged Returns
When evaluating Glenmede International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Glenmede International mutual fund have on its future price. Glenmede International 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, Glenmede International autocorrelation shows the relationship between Glenmede International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Glenmede International Secured.
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 Glenmede International Correlation, Glenmede International Volatility and Glenmede International Alpha and Beta module to complement your research on Glenmede International. You can also try the Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Glenmede International 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.