Global Bond Fund Market Value
| PAIIX Fund | USD 9.45 0.03 0.32% |
| Symbol | Global |
Global Bond '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 Bond'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 Bond.
| 05/16/2022 |
| 05/05/2024 |
If you would invest 0.00 in Global Bond on May 16, 2022 and sell it all today you would earn a total of 0.00 from holding Global Bond Fund or generate 0.0% return on investment in Global Bond over 720 days. Global Bond is related to or competes with Vanguard Total, and Vanguard Total. The fund normally invests at least 80 percent of its assets in Fixed Income Instruments that are economically tied to at... More
Global Bond 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 Bond'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 Bond Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2678 | |||
| Information Ratio | (0.33) | |||
| Maximum Drawdown | 0.9508 | |||
| Value At Risk | (0.43) | |||
| Potential Upside | 0.3185 |
Global Bond Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Global Bond's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Global Bond's standard deviation. In reality, there are many statistical measures that can use Global Bond historical prices to predict the future Global Bond's volatility.| Risk Adjusted Performance | 0.005 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.27) | |||
| Treynor Ratio | (0.01) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Global Bond'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 Bond Fund Backtested Returns
We consider Global Bond very steady. Global Bond Fund holds Efficiency (Sharpe) Ratio of 0.0903, which attests that the entity had a 0.0903% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Global Bond Fund, which you can use to evaluate the volatility of the entity. Please check out Global Bond's Market Risk Adjusted Performance of (0), risk adjusted performance of 0.005, and Downside Deviation of 0.2678 to validate if the risk estimate we provide is consistent with the expected return of 0.0185%. The fund retains a Market Volatility (i.e., Beta) of 0.13, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Global Bond's returns are expected to increase less than the market. However, during the bear market, the loss of holding Global Bond is expected to be smaller as well.
Auto-correlation | 0.72 |
Good predictability
Global Bond Fund has good predictability. Overlapping area represents the amount of predictability between Global Bond time series from 16th of May 2022 to 11th of May 2023 and 11th of May 2023 to 5th 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 Global Bond Fund price movement. The serial correlation of 0.72 indicates that around 72.0% of current Global Bond price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Global Bond Fund lagged returns against current returns
Autocorrelation, which is Global Bond 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 Bond's mutual fund expected returns. We can calculate the autocorrelation of Global Bond returns to help us make a trade decision. For example, suppose you find that Global Bond 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 Bond 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 Bond mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Global Bond 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 Bond mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Global Bond Lagged Returns
When evaluating Global Bond's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Global Bond mutual fund have on its future price. Global Bond 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 Bond autocorrelation shows the relationship between Global Bond mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Global Bond Fund.
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 Global Bond 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, Global Bond's short interest history, or implied volatility extrapolated from Global Bond options trading.
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Check out Global Bond Correlation, Global Bond Volatility and Global Bond Alpha and Beta module to complement your research on Global Bond. You can also try the Financial Widgets module to easily integrated Macroaxis content with over 30 different plug-and-play financial widgets.
Global Bond 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.