BrandywineGLOBAL Backtesting

LGOCX -- USA Fund  

USD 10.07  0.06  0.60%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of BrandywineGLOBAL Global Opp Bond C and determine expected loss or profit from investing in BrandywineGLOBAL over given investment horizon. Please see also BrandywineGLOBAL Hype Analysis, BrandywineGLOBAL Correlation, Portfolio Optimization, BrandywineGLOBAL Volatility as well as analyze BrandywineGLOBAL Alpha and Beta and BrandywineGLOBAL Performance.
Horizon     30 Days    Login   to change

BrandywineGLOBAL 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in BrandywineGLOBAL on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding BrandywineGLOBAL Global Opp Bond C or generate 0.0% return on investment in BrandywineGLOBAL over 30 days. BrandywineGLOBAL is related to or competes with Vanguard Total, Vanguard Total, Vanguard Total, Vanguard Total, Templeton Global, Templeton Global, and Templeton Global. The investment seeks to maximize total return consisting of income and capital appreciation

BrandywineGLOBAL Upside/Downside Indicators

Downside Deviation0.6271
Information Ratio0.37
Maximum Drawdown1.6
Value At Risk0.79
Potential Upside0.6042

BrandywineGLOBAL Market Premium Indicators

Risk Adjusted Performance0.0013
Jensen Alpha0.06
Total Risk Alpha0.18
Sortino Ratio0.28
Treynor Ratio0.030187

BrandywineGLOBAL Global Backtested Returns

We consider BrandywineGLOBAL not too volatile. BrandywineGLOBAL Global secures Sharpe Ratio (or Efficiency) of 0.0557 which signifies that BrandywineGLOBAL Global had 0.0557% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for BrandywineGLOBAL Global Opp Bond C which you can use to evaluate future volatility of the entity. Please confirm BrandywineGLOBAL Global Mean Deviation of 0.3547 and Risk Adjusted Performance of 0.0013 to double-check if risk estimate we provide are consistent with the epected return of 0.0246%. The organization shows Beta (market volatility) of 0.2963 which signifies that as returns on market increase, BrandywineGLOBAL returns are expected to increase less than the market. However during bear market, the loss on holding BrandywineGLOBAL will be expected to be smaller as well.. Although it is extremely important to respect BrandywineGLOBAL Global historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing BrandywineGLOBAL Global technical indicators you can presently evaluate if the expected return of 0.0246% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.81) 

Excellent reverse predictability

BrandywineGLOBAL Global Opp Bond C has excellent reverse predictability. Overlapping area represents the amount of predictability between BrandywineGLOBAL time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of BrandywineGLOBAL Global price movement. The serial correlation of -0.81 indicates that around 81.0% of current BrandywineGLOBAL price fluctuation can be explain by its past prices. Given that BrandywineGLOBAL Global Opp Bond C has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of BrandywineGLOBAL for similar time interval.
Correlation Coefficient-0.81
Spearman Rank Test-0.79
Residual Average0.0
Price Variance0.0

BrandywineGLOBAL Global lagged returns against current returns

 Current and Lagged Values 

BrandywineGLOBAL regressed lagged prices vs. current prices

 Current vs Lagged Prices 

BrandywineGLOBAL Lagged Returns

 Regressed Prices 

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Please see also BrandywineGLOBAL Hype Analysis, BrandywineGLOBAL Correlation, Portfolio Optimization, BrandywineGLOBAL Volatility as well as analyze BrandywineGLOBAL Alpha and Beta and BrandywineGLOBAL Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.