Johcm International Opportunities Fund Market Value
| JOPSX Fund | USD 12.26 0.04 0.33% |
| Symbol | Johcm |
Johcm International '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 Johcm International'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 Johcm International.
| 03/28/2024 |
| 04/27/2024 |
If you would invest 0.00 in Johcm International on March 28, 2024 and sell it all today you would earn a total of 0.00 from holding Johcm International Opportunities or generate 0.0% return on investment in Johcm International over 30 days. Johcm International is related to or competes with Vanguard Total, Vanguard Developed, and Fidelity International. The fund invests primarily in equity securities of companies located outside the U.S More
Johcm International 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 Johcm International'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 Johcm International Opportunities upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6128 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 2.78 | |||
| Value At Risk | (1.10) | |||
| Potential Upside | 1.03 |
Johcm International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Johcm International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Johcm International's standard deviation. In reality, there are many statistical measures that can use Johcm International historical prices to predict the future Johcm International's volatility.| Risk Adjusted Performance | 0.089 | |||
| Jensen Alpha | 0.0622 | |||
| Total Risk Alpha | (0.0002) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.5384 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Johcm International'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.
Johcm International Backtested Returns
We consider Johcm International out of control. Johcm International holds Efficiency (Sharpe) Ratio of 0.1, which attests that the entity had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Johcm International, which you can use to evaluate the volatility of the entity. Please check out Johcm International's Risk Adjusted Performance of 0.089, downside deviation of 0.6128, and Market Risk Adjusted Performance of 0.5484 to validate if the risk estimate we provide is consistent with the expected return of 0.061%. The fund retains a Market Volatility (i.e., Beta) of 0.14, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Johcm International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Johcm International is expected to be smaller as well.
Auto-correlation | 0.55 |
Modest predictability
Johcm International Opportunities has modest predictability. Overlapping area represents the amount of predictability between Johcm International time series from 28th of March 2024 to 12th of April 2024 and 12th of April 2024 to 27th 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 Johcm International price movement. The serial correlation of 0.55 indicates that about 55.0% of current Johcm International price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.55 | |
| Spearman Rank Test | -0.27 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Johcm International lagged returns against current returns
Autocorrelation, which is Johcm International 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 Johcm International's mutual fund expected returns. We can calculate the autocorrelation of Johcm International returns to help us make a trade decision. For example, suppose you find that Johcm International 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 |
Johcm International 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 Johcm International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Johcm International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Johcm International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Johcm International Lagged Returns
When evaluating Johcm International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Johcm International mutual fund have on its future price. Johcm International 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, Johcm International autocorrelation shows the relationship between Johcm International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Johcm International Opportunities.
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 Johcm International 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, Johcm International's short interest history, or implied volatility extrapolated from Johcm International options trading.
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Johcm International 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.