Global Quality Portfolio Fund Market Value
| MGQLX Fund | USD 17.95 0.02 0.11% |
| Symbol | Global |
Global Quality '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 Global Quality'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 Global Quality.
| 07/22/2023 |
| 04/17/2024 |
If you would invest 0.00 in Global Quality on July 22, 2023 and sell it all today you would earn a total of 0.00 from holding Global Quality Portfolio or generate 0.0% return on investment in Global Quality over 270 days. Global Quality is related to or competes with Emerging Markets, Global Fixed, Global Fixed, Global Fixed, Short Duration, Global Core, and Global E. Under normal circumstances, at least 80 percent of the funds net assets will be invested in equity securities of compani... More
Global Quality 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 Global Quality'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 Global Quality Portfolio upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8121 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.24 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 1.27 |
Global Quality Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Quality's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Quality's standard deviation. In reality, there are many statistical measures that can use Global Quality historical prices to predict the future Global Quality's volatility.| Risk Adjusted Performance | 0.0139 | |||
| Jensen Alpha | 0.0028 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.1277 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Global Quality'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.
Global Quality Portfolio Backtested Returns
We consider Global Quality very steady. Global Quality Portfolio holds Efficiency (Sharpe) Ratio of 0.0011, which attests that the entity had a 0.0011% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Global Quality Portfolio, which you can use to evaluate the volatility of the entity. Please check out Global Quality's Downside Deviation of 0.8121, market risk adjusted performance of 0.1377, and Risk Adjusted Performance of 0.0139 to validate if the risk estimate we provide is consistent with the expected return of 8.0E-4%. The fund retains a Market Volatility (i.e., Beta) of 0.0351, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Global Quality's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global Quality is expected to be smaller as well.
Auto-correlation | -0.75 |
Almost perfect reverse predictability
Global Quality Portfolio has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Global Quality time series from 22nd of July 2023 to 4th of December 2023 and 4th of December 2023 to 17th 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 Global Quality Portfolio price movement. The serial correlation of -0.75 indicates that around 75.0% of current Global Quality price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.75 | |
| Spearman Rank Test | -0.31 | |
| Residual Average | 0.0 | |
| Price Variance | 0.32 |
Global Quality Portfolio lagged returns against current returns
Autocorrelation, which is Global Quality 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 Global Quality's mutual fund expected returns. We can calculate the autocorrelation of Global Quality returns to help us make a trade decision. For example, suppose you find that Global Quality 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 |
Global Quality 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 Global Quality mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Quality mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Global Quality mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Quality Lagged Returns
When evaluating Global Quality's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Quality mutual fund have on its future price. Global Quality 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, Global Quality autocorrelation shows the relationship between Global Quality mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Quality Portfolio.
Regressed Prices |
| Timeline |
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Global Quality 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.