Thornburg International Value Fund Market Value
| TGVRX Fund | USD 25.46 0.30 1.19% |
| Symbol | Thornburg |
Thornburg 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 Thornburg 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 Thornburg International.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Thornburg International on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Thornburg International Value or generate 0.0% return on investment in Thornburg International over 30 days. Thornburg International is related to or competes with Growth Fund, Loomis Sayles, Oppenheimer International, Thornburg, and Eaton Vance. The fund invests primarily in common stocks of non-U.S More
Thornburg 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 Thornburg 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 Thornburg International Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4423 | |||
| Information Ratio | 0.0052 | |||
| Maximum Drawdown | 2.29 | |||
| Value At Risk | (0.74) | |||
| Potential Upside | 0.9052 |
Thornburg International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Thornburg International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Thornburg International's standard deviation. In reality, there are many statistical measures that can use Thornburg International historical prices to predict the future Thornburg International's volatility.| Risk Adjusted Performance | 0.111 | |||
| Jensen Alpha | 0.0385 | |||
| Total Risk Alpha | 0.0176 | |||
| Sortino Ratio | 0.0059 | |||
| Treynor Ratio | 0.1495 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Thornburg 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.
Thornburg International Backtested Returns
We consider Thornburg International very steady. Thornburg International owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.19, which indicates the fund had a 0.19% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Thornburg International Value, which you can use to evaluate the volatility of the fund. Please validate Thornburg International's Semi Deviation of 0.2585, coefficient of variation of 543.14, and Risk Adjusted Performance of 0.111 to confirm if the risk estimate we provide is consistent with the expected return of 0.0973%. The entity has a beta of 0.55, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Thornburg International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Thornburg International is expected to be smaller as well.
Auto-correlation | 0.03 |
Virtually no predictability
Thornburg International Value has virtually no predictability. Overlapping area represents the amount of predictability between Thornburg International 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 Thornburg International price movement. The serial correlation of 0.03 indicates that only 3.0% of current Thornburg International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.03 | |
| Spearman Rank Test | -0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Thornburg International lagged returns against current returns
Autocorrelation, which is Thornburg 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 Thornburg International's mutual fund expected returns. We can calculate the autocorrelation of Thornburg International returns to help us make a trade decision. For example, suppose you find that Thornburg 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 |
Thornburg 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 Thornburg International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Thornburg 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 Thornburg International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Thornburg International Lagged Returns
When evaluating Thornburg International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Thornburg International mutual fund have on its future price. Thornburg 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, Thornburg International autocorrelation shows the relationship between Thornburg International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Thornburg International Value.
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 Thornburg International 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, Thornburg International's short interest history, or implied volatility extrapolated from Thornburg International options trading.
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Check out Thornburg International Correlation, Thornburg International Volatility and Thornburg International Alpha and Beta module to complement your research on Thornburg International. You can also try the Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.
Thornburg 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.