Brandes Global Equity Fund Market Value
| BGVCX Fund | USD 29.45 0.23 0.79% |
| Symbol | Brandes |
Brandes 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 Brandes 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 Brandes Global.
| 04/06/2024 |
| 05/06/2024 |
If you would invest 0.00 in Brandes Global on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding Brandes Global Equity or generate 0.0% return on investment in Brandes Global over 30 days. Brandes Global is related to or competes with Brandes Small, Brandes Small, Brandes Small, Brandes Core, Brandes Core, Brandes Core, and Brandes Emerging. The fund invests primarily in equity securities of U.S More
Brandes 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 Brandes 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 Brandes Global Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.705 | |||
| Information Ratio | 0.0502 | |||
| Maximum Drawdown | 3.12 | |||
| Value At Risk | (1.19) | |||
| Potential Upside | 0.9407 |
Brandes Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brandes Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brandes Global's standard deviation. In reality, there are many statistical measures that can use Brandes Global historical prices to predict the future Brandes Global's volatility.| Risk Adjusted Performance | 0.1105 | |||
| Jensen Alpha | 0.0446 | |||
| Total Risk Alpha | 0.0314 | |||
| Sortino Ratio | 0.0453 | |||
| Treynor Ratio | 0.124 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brandes 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.
Brandes Global Equity Backtested Returns
We consider Brandes Global very steady. Brandes Global Equity secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the fund had a 0.16% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Brandes Global Equity, which you can use to evaluate the volatility of the entity. Please confirm Brandes Global's risk adjusted performance of 0.1105, and Mean Deviation of 0.4656 to double-check if the risk estimate we provide is consistent with the expected return of 0.1%. The fund shows a Beta (market volatility) of 0.82, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Brandes Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Brandes Global is expected to be smaller as well.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Brandes Global Equity has insignificant reverse predictability. Overlapping area represents the amount of predictability between Brandes Global time series from 6th of April 2024 to 21st of April 2024 and 21st of April 2024 to 6th of May 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 Brandes Global Equity price movement. The serial correlation of -0.2 indicates that over 20.0% of current Brandes Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | -0.68 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Brandes Global Equity lagged returns against current returns
Autocorrelation, which is Brandes 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 Brandes Global's mutual fund expected returns. We can calculate the autocorrelation of Brandes Global returns to help us make a trade decision. For example, suppose you find that Brandes 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 |
Brandes 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 Brandes Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brandes 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 Brandes Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Brandes Global Lagged Returns
When evaluating Brandes Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brandes Global mutual fund have on its future price. Brandes 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, Brandes Global autocorrelation shows the relationship between Brandes Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Brandes Global Equity.
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 Brandes 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, Brandes Global's short interest history, or implied volatility extrapolated from Brandes Global options trading.
Pair Trading with Brandes Global
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Brandes Global position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Brandes Global will appreciate offsetting losses from the drop in the long position's value.Moving together with Brandes Mutual Fund
| 0.96 | BSCRX | Brandes Small Cap | PairCorr |
| 0.96 | BSCMX | Brandes Small Cap | PairCorr |
| 0.96 | BSCAX | Brandes Small Cap | PairCorr |
The ability to find closely correlated positions to Brandes Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brandes Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Brandes Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Brandes Global Equity to buy it.
The correlation of Brandes Global is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Brandes Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brandes Global Equity moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Brandes Global can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Brandes Global Correlation, Brandes Global Volatility and Brandes Global Alpha and Beta module to complement your research on Brandes Global. Note that the Brandes Global Equity information on this page should be used as a complementary analysis to other Brandes 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 Crypto Correlations module to use cryptocurrency correlation module to diversify your cryptocurrency portfolio across multiple coins.
Brandes 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.