Growth Portfolio Class Fund Market Value
| MSEQX Fund | USD 36.55 0.60 1.62% |
| Symbol | Growth |
Growth Portfolio '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 Growth Portfolio'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 Growth Portfolio.
| 06/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Growth Portfolio on June 28, 2023 and sell it all today you would earn a total of 0.00 from holding Growth Portfolio Class or generate 0.0% return on investment in Growth Portfolio over 300 days. Growth Portfolio is related to or competes with Emerging Markets, Global Fixed, Global Fixed, Short Duration, Global Core, Global Core, and Global Concentrated. The fund invests primarily in established and emerging companies, with capitalizations within the range of companies inc... More
Growth Portfolio 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 Growth Portfolio'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 Growth Portfolio Class upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.69 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 7.63 | |||
| Value At Risk | (2.75) | |||
| Potential Upside | 2.95 |
Growth Portfolio Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Growth Portfolio's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Growth Portfolio's standard deviation. In reality, there are many statistical measures that can use Growth Portfolio historical prices to predict the future Growth Portfolio's volatility.| Risk Adjusted Performance | 0.0209 | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.18) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0162 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Growth Portfolio'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.
Growth Portfolio Class Backtested Returns
We consider Growth Portfolio very steady. Growth Portfolio Class holds Efficiency (Sharpe) Ratio of 0.0051, which attests that the entity had a 0.0051% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Growth Portfolio Class, which you can use to evaluate the volatility of the entity. Please check out Growth Portfolio's Risk Adjusted Performance of 0.0209, market risk adjusted performance of 0.0262, and Downside Deviation of 1.69 to validate if the risk estimate we provide is consistent with the expected return of 0.0088%. The fund retains a Market Volatility (i.e., Beta) of 1.86, which attests to 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, Growth Portfolio will likely underperform.
Auto-correlation | -0.44 |
Modest reverse predictability
Growth Portfolio Class has modest reverse predictability. Overlapping area represents the amount of predictability between Growth Portfolio time series from 28th of June 2023 to 25th of November 2023 and 25th of November 2023 to 23rd 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 Growth Portfolio Class price movement. The serial correlation of -0.44 indicates that just about 44.0% of current Growth Portfolio price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.44 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 4.03 |
Growth Portfolio Class lagged returns against current returns
Autocorrelation, which is Growth Portfolio 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 Growth Portfolio's mutual fund expected returns. We can calculate the autocorrelation of Growth Portfolio returns to help us make a trade decision. For example, suppose you find that Growth Portfolio 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 |
Growth Portfolio 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 Growth Portfolio mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Growth Portfolio mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Growth Portfolio mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Growth Portfolio Lagged Returns
When evaluating Growth Portfolio's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Growth Portfolio mutual fund have on its future price. Growth Portfolio 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, Growth Portfolio autocorrelation shows the relationship between Growth Portfolio mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Growth Portfolio Class.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Growth Portfolio Correlation, Growth Portfolio Volatility and Growth Portfolio Alpha and Beta module to complement your research on Growth Portfolio. You can also try the Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
Growth Portfolio 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.