First Eagle Overseas Fund Market Value
| SGOVX Fund | USD 24.88 0.13 0.53% |
| Symbol | First |
First Eagle '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 First Eagle'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 First Eagle.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in First Eagle on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding First Eagle Overseas or generate 0.0% return on investment in First Eagle over 30 days. First Eagle is related to or competes with First Eagle, Calamos Growth, First Eagle, First Eagle, and Oppenheimer International. The fund will invest primarily in equity securities of non-U.S More
First Eagle 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 First Eagle'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 First Eagle Overseas upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5209 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.56 | |||
| Value At Risk | (0.62) | |||
| Potential Upside | 0.8516 |
First Eagle Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for First Eagle's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as First Eagle's standard deviation. In reality, there are many statistical measures that can use First Eagle historical prices to predict the future First Eagle's volatility.| Risk Adjusted Performance | 0.0775 | |||
| Jensen Alpha | 5.0E-4 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.08 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of First Eagle'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.
First Eagle Overseas Backtested Returns
We consider First Eagle very steady. First Eagle Overseas secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for First Eagle Overseas, which you can use to evaluate the volatility of the entity. Please confirm First Eagle's Coefficient Of Variation of 772.21, downside deviation of 0.5209, and Mean Deviation of 0.3846 to check if the risk estimate we provide is consistent with the expected return of 0.0668%. The fund shows a Beta (market volatility) of 0.69, which means possible diversification benefits within a given portfolio. As returns on the market increase, First Eagle's returns are expected to increase less than the market. However, during the bear market, the loss of holding First Eagle is expected to be smaller as well.
Auto-correlation | -0.59 |
Good reverse predictability
First Eagle Overseas has good reverse predictability. Overlapping area represents the amount of predictability between First Eagle time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 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 First Eagle Overseas price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current First Eagle price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.59 | |
| Spearman Rank Test | -0.49 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
First Eagle Overseas lagged returns against current returns
Autocorrelation, which is First Eagle 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 First Eagle's mutual fund expected returns. We can calculate the autocorrelation of First Eagle returns to help us make a trade decision. For example, suppose you find that First Eagle 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 |
First Eagle 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 First Eagle mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if First Eagle mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in First Eagle mutual fund over time.
Current vs Lagged Prices |
| Timeline |
First Eagle Lagged Returns
When evaluating First Eagle's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of First Eagle mutual fund have on its future price. First Eagle 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, First Eagle autocorrelation shows the relationship between First Eagle mutual fund current value and its past values and can show if there is a momentum factor associated with investing in First Eagle Overseas.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out First Eagle Correlation, First Eagle Volatility and First Eagle Alpha and Beta module to complement your research on First Eagle. You can also try the Analyst Advice module to analyst recommendations and target price estimates broken down by several categories.
First Eagle 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.