Renaissance Global Science Fund Market Value
| 0P0000760C | 29.29 0.30 1.03% |
| Symbol | Renaissance |
Renaissance 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 Renaissance Global's 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 Renaissance Global.
| 11/15/2024 |
| 12/15/2024 |
If you would invest 0.00 in Renaissance Global on November 15, 2024 and sell it all today you would earn a total of 0.00 from holding Renaissance Global Science or generate 0.0% return on investment in Renaissance Global over 30 days.
Renaissance 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 Renaissance Global's 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 Renaissance Global Science upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9284 | |||
| Information Ratio | 0.0807 | |||
| Maximum Drawdown | 5.84 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.29 |
Renaissance Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Renaissance Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Renaissance Global's standard deviation. In reality, there are many statistical measures that can use Renaissance Global historical prices to predict the future Renaissance Global's volatility.| Risk Adjusted Performance | 0.1428 | |||
| Jensen Alpha | 0.1524 | |||
| Total Risk Alpha | 0.0518 | |||
| Sortino Ratio | 0.0765 | |||
| Treynor Ratio | 1.67 |
Renaissance Global Backtested Returns
At this point, Renaissance Global is very steady. Renaissance Global maintains Sharpe Ratio (i.e., Efficiency) of 0.16, which implies the entity had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Renaissance Global, which you can use to evaluate the volatility of the fund. Please check Renaissance Global's Semi Deviation of 0.6389, risk adjusted performance of 0.1428, and Coefficient Of Variation of 514.01 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The fund holds a Beta of 0.0965, which implies not very significant fluctuations relative to the market. As returns on the market increase, Renaissance Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Renaissance Global is expected to be smaller as well.
Auto-correlation | 0.69 |
Good predictability
Renaissance Global Science has good predictability. Overlapping area represents the amount of predictability between Renaissance Global time series from 15th of November 2024 to 30th of November 2024 and 30th of November 2024 to 15th of December 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 Renaissance Global price movement. The serial correlation of 0.69 indicates that around 69.0% of current Renaissance Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.69 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Renaissance Global lagged returns against current returns
Autocorrelation, which is Renaissance Global 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 Renaissance Global's fund expected returns. We can calculate the autocorrelation of Renaissance Global returns to help us make a trade decision. For example, suppose you find that Renaissance Global has exhibited high autocorrelation historically, and you observe that the 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 |
Renaissance 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 Renaissance Global fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Renaissance Global fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Renaissance Global fund over time.
Current vs Lagged Prices |
| Timeline |
Renaissance Global Lagged Returns
When evaluating Renaissance Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Renaissance Global fund have on its future price. Renaissance 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, Renaissance Global autocorrelation shows the relationship between Renaissance Global fund current value and its past values and can show if there is a momentum factor associated with investing in Renaissance Global Science.
Regressed Prices |
| Timeline |
Pair Trading with Renaissance Global
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Renaissance Global position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Renaissance Global will appreciate offsetting losses from the drop in the long position's value.Moving together with Renaissance Fund
| 0.92 | 0P0000706A | RBC Select Balanced | PairCorr |
| 0.92 | 0P00007069 | RBC Portefeuille | PairCorr |
| 0.81 | 0P0000IUYO | Edgepoint Global Por | PairCorr |
| 0.77 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
| 0.92 | 0P00012UCU | RBC Global Equity | PairCorr |
The ability to find closely correlated positions to Renaissance Global could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Renaissance Global when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Renaissance Global - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Renaissance Global Science to buy it.
The correlation of Renaissance Global is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Renaissance Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Renaissance Global moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Renaissance Global can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.| Portfolio Rebalancing Analyze risk-adjusted returns against different time horizons to find asset-allocation targets | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Competition Analyzer Analyze and compare many basic indicators for a group of related or unrelated entities |