Janus Global Allocation Fund Market Value
| JGCAX Fund | USD 12.92 0.10 0.77% |
| Symbol | Janus |
Janus Global '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 Janus Global'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 Janus Global.
| 10/18/2023 |
| 04/15/2024 |
If you would invest 0.00 in Janus Global on October 18, 2023 and sell it all today you would earn a total of 0.00 from holding Janus Global Allocation or generate 0.0% return on investment in Janus Global over 180 days. Janus Global is related to or competes with Janus Global, Janus Global, Janus Research, Janus Research, Janus Research, Janus Research, and Janus Henderson. The fund invests in other Janus Henderson mutual funds and ETFs that represent a variety of asset classes and investment... More
Janus Global 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 Janus Global'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 Janus Global Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6345 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 2.23 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 0.873 |
Janus Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Janus Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Janus Global's standard deviation. In reality, there are many statistical measures that can use Janus Global historical prices to predict the future Janus Global's volatility.| Risk Adjusted Performance | 0.0816 | |||
| Jensen Alpha | 0.0058 | |||
| Total Risk Alpha | 0.0029 | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0753 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Janus Global'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.
Janus Global Allocation Backtested Returns
We consider Janus Global very steady. Janus Global Allocation holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Janus Global Allocation, which you can use to evaluate the volatility of the entity. Please check out Janus Global's Risk Adjusted Performance of 0.0816, market risk adjusted performance of 0.0853, and Downside Deviation of 0.6345 to validate if the risk estimate we provide is consistent with the expected return of 0.068%. The fund retains a Market Volatility (i.e., Beta) of 0.82, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Janus Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Janus Global is expected to be smaller as well.
Auto-correlation | 0.94 |
Excellent predictability
Janus Global Allocation has excellent predictability. Overlapping area represents the amount of predictability between Janus Global time series from 18th of October 2023 to 16th of January 2024 and 16th of January 2024 to 15th 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 Janus Global Allocation price movement. The serial correlation of 0.94 indicates that approximately 94.0% of current Janus Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.94 | |
| Spearman Rank Test | 0.93 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Janus Global Allocation lagged returns against current returns
Autocorrelation, which is Janus Global 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 Janus Global's mutual fund expected returns. We can calculate the autocorrelation of Janus Global returns to help us make a trade decision. For example, suppose you find that Janus Global 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 |
Janus Global 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 Janus Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Janus Global mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Janus Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Janus Global Lagged Returns
When evaluating Janus Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Janus Global mutual fund have on its future price. Janus Global 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, Janus Global autocorrelation shows the relationship between Janus Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Janus Global Allocation.
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 Janus Global 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, Janus Global's short interest history, or implied volatility extrapolated from Janus Global options trading.
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Try AI Portfolio ArchitectCheck out Janus Global Correlation, Janus Global Volatility and Janus Global Alpha and Beta module to complement your research on Janus Global. Note that the Janus Global Allocation information on this page should be used as a complementary analysis to other Janus Global's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Janus Global 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.