Global Managed Volatility Fund Market Value
| UGMVX Fund | USD 10.04 0.03 0.30% |
| Symbol | Global |
Global Managed '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 Managed'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 Managed.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Global Managed on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Global Managed Volatility or generate 0.0% return on investment in Global Managed over 30 days. Global Managed is related to or competes with Income Fund, Usaa Nasdaq, Usaa Intermediate, Usaa Tax, Victory Special, Victory Integrity, and Victory Integrity. The funds principal strategy is to combine a portfolio of domestic and foreign equity securities, including emerging mar... More
Global Managed 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 Managed'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 Managed Volatility upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6483 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 2.83 | |||
| Value At Risk | (0.96) | |||
| Potential Upside | 1.06 |
Global Managed Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Managed's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Managed's standard deviation. In reality, there are many statistical measures that can use Global Managed historical prices to predict the future Global Managed's volatility.| Risk Adjusted Performance | 0.0385 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0318 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Global Managed'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 Managed Volatility Backtested Returns
We consider Global Managed very steady. Global Managed Volatility holds Efficiency (Sharpe) Ratio of 0.0318, which attests that the entity had a 0.0318% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Global Managed Volatility, which you can use to evaluate the volatility of the entity. Please check out Global Managed's Market Risk Adjusted Performance of 0.0418, risk adjusted performance of 0.0385, and Downside Deviation of 0.6483 to validate if the risk estimate we provide is consistent with the expected return of 0.0193%. The fund retains a Market Volatility (i.e., Beta) of 0.9, which attests to possible diversification benefits within a given portfolio. Global Managed returns are very sensitive to returns on the market. As the market goes up or down, Global Managed is expected to follow.
Auto-correlation | 0.69 |
Good predictability
Global Managed Volatility has good predictability. Overlapping area represents the amount of predictability between Global Managed time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Managed Volatility price movement. The serial correlation of 0.69 indicates that around 69.0% of current Global Managed price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.52 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Global Managed Volatility lagged returns against current returns
Autocorrelation, which is Global Managed 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 Managed's mutual fund expected returns. We can calculate the autocorrelation of Global Managed returns to help us make a trade decision. For example, suppose you find that Global Managed 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 Managed 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 Managed mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Managed 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 Managed mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Managed Lagged Returns
When evaluating Global Managed's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Managed mutual fund have on its future price. Global Managed 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 Managed autocorrelation shows the relationship between Global Managed mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Managed Volatility.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Global Managed Correlation, Global Managed Volatility and Global Managed Alpha and Beta module to complement your research on Global Managed. You can also try the Transaction History module to view history of all your transactions and understand their impact on performance.
Global Managed 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.