Blackrock Global Dynamic Fund Market Value
| MREGX Fund | USD 14.07 0.25 1.81% |
| Symbol | Blackrock |
Blackrock 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 Blackrock 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 Blackrock Global.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Blackrock Global on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Blackrock Global Dynamic or generate 0.0% return on investment in Blackrock Global over 30 days. Blackrock Global is related to or competes with Marsico 21st, Northern Small, Aberdeen Select, HUMANA, Barloworld, Morningstar Unconstrained, and High Yield. The fund seeks to achieve its investment objective through a fully managed investment policy utilizing global equity sec... More
Blackrock 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 Blackrock 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 Blackrock Global Dynamic upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.01 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 4.37 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 1.81 |
Blackrock Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Global's standard deviation. In reality, there are many statistical measures that can use Blackrock Global historical prices to predict the future Blackrock Global's volatility.| Risk Adjusted Performance | 0.0641 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.0692 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Blackrock 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.
Blackrock Global Dynamic Backtested Returns
We consider Blackrock Global very steady. Blackrock Global Dynamic secures Sharpe Ratio (or Efficiency) of 0.0756, which signifies that the fund had a 0.0756% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Blackrock Global Dynamic, which you can use to evaluate the volatility of the entity. Please confirm Blackrock Global's risk adjusted performance of 0.0641, and Mean Deviation of 0.7286 to double-check if the risk estimate we provide is consistent with the expected return of 0.0739%. The fund shows a Beta (market volatility) of 1.2, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Blackrock Global will likely underperform.
Auto-correlation | 0.63 |
Good predictability
Blackrock Global Dynamic has good predictability. Overlapping area represents the amount of predictability between Blackrock Global 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 Blackrock Global Dynamic price movement. The serial correlation of 0.63 indicates that roughly 63.0% of current Blackrock Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.63 | |
| Spearman Rank Test | 0.62 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Blackrock Global Dynamic lagged returns against current returns
Autocorrelation, which is Blackrock 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 Blackrock Global's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Global returns to help us make a trade decision. For example, suppose you find that Blackrock 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 |
Blackrock 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 Blackrock Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock 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 Blackrock Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Global Lagged Returns
When evaluating Blackrock Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Global mutual fund have on its future price. Blackrock 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, Blackrock Global autocorrelation shows the relationship between Blackrock Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Global Dynamic.
Regressed Prices |
| Timeline |
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Blackrock 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.