Boston Partners Global Fund Market Value
| BPGIX Fund | USD 23.77 0.19 0.81% |
| Symbol | Boston |
Boston Partners '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 Boston Partners' 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 Boston Partners.
| 04/06/2024 |
| 05/06/2024 |
If you would invest 0.00 in Boston Partners on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding Boston Partners Global or generate 0.0% return on investment in Boston Partners over 30 days. Boston Partners is related to or competes with Boston Partners, Boston Partners, Boston Partners, Rbb Fund, Boston Partners, Boston Partners, and Wpg Partners. The Advisor pursues the funds objective by investing, under normal circumstances, at least 80 percent of its net assets ... More
Boston Partners 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 Boston Partners' 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 Boston Partners Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7162 | |||
| Information Ratio | 0.0431 | |||
| Maximum Drawdown | 2.9 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 1.03 |
Boston Partners Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Boston Partners' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Boston Partners' standard deviation. In reality, there are many statistical measures that can use Boston Partners historical prices to predict the future Boston Partners' volatility.| Risk Adjusted Performance | 0.1059 | |||
| Jensen Alpha | 0.0332 | |||
| Total Risk Alpha | 0.0268 | |||
| Sortino Ratio | 0.0384 | |||
| Treynor Ratio | 0.1055 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Boston Partners' 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.
Boston Partners Global Backtested Returns
We consider Boston Partners very steady. Boston Partners Global secures Sharpe Ratio (or Efficiency) of 0.18, which signifies that the fund had a 0.18% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Boston Partners Global, which you can use to evaluate the volatility of the entity. Please confirm Boston Partners' Downside Deviation of 0.7162, risk adjusted performance of 0.1059, and Mean Deviation of 0.4984 to double-check if the risk estimate we provide is consistent with the expected return of 0.11%. The fund shows a Beta (market volatility) of 0.92, which signifies possible diversification benefits within a given portfolio. Boston Partners returns are very sensitive to returns on the market. As the market goes up or down, Boston Partners is expected to follow.
Auto-correlation | -0.04 |
Very weak reverse predictability
Boston Partners Global has very weak reverse predictability. Overlapping area represents the amount of predictability between Boston Partners time series from 6th of April 2024 to 21st of April 2024 and 21st of April 2024 to 6th 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 Boston Partners Global price movement. The serial correlation of -0.04 indicates that only as little as 4.0% of current Boston Partners price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.04 | |
| Spearman Rank Test | -0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Boston Partners Global lagged returns against current returns
Autocorrelation, which is Boston Partners 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 Boston Partners' mutual fund expected returns. We can calculate the autocorrelation of Boston Partners returns to help us make a trade decision. For example, suppose you find that Boston Partners 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 |
Boston Partners 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 Boston Partners mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Boston Partners mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Boston Partners mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Boston Partners Lagged Returns
When evaluating Boston Partners' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Boston Partners mutual fund have on its future price. Boston Partners 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, Boston Partners autocorrelation shows the relationship between Boston Partners mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Boston Partners Global.
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 Boston Partners 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, Boston Partners' short interest history, or implied volatility extrapolated from Boston Partners options trading.
Pair Trading with Boston Partners
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Boston Partners position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Boston Partners will appreciate offsetting losses from the drop in the long position's value.Moving together with Boston Mutual Fund
| 0.74 | BELSX | Boston Partners Emerging | PairCorr |
| 0.93 | BGLSX | Boston Partners Global | PairCorr |
| 0.93 | BGRSX | Boston Partners Global | PairCorr |
| 0.96 | OPTCX | Rbb Fund | PairCorr |
| 0.81 | BPAVX | Boston Partners All | PairCorr |
The ability to find closely correlated positions to Boston Partners could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Boston Partners when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Boston Partners - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Boston Partners Global to buy it.
The correlation of Boston Partners is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Boston Partners moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Boston Partners Global moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Boston Partners can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Boston Partners Correlation, Boston Partners Volatility and Boston Partners Alpha and Beta module to complement your research on Boston Partners. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
Boston Partners 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.