Allan Gray (South Africa) Market Value
| 0P0000IR11 | 138.59 0.78 0.57% |
| Symbol | Allan |
Allan Gray '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 Allan Gray'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 Allan Gray.
| 12/24/2022 |
| 12/13/2024 |
If you would invest 0.00 in Allan Gray on December 24, 2022 and sell it all today you would earn a total of 0.00 from holding Allan Gray or generate 0.0% return on investment in Allan Gray over 720 days.
Allan Gray 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 Allan Gray'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 Allan Gray upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.734 | |||
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 4.42 | |||
| Value At Risk | (1.29) | |||
| Potential Upside | 1.53 |
Allan Gray Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Allan Gray's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Allan Gray's standard deviation. In reality, there are many statistical measures that can use Allan Gray historical prices to predict the future Allan Gray's volatility.| Risk Adjusted Performance | 0.0435 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.0801 |
Allan Gray Backtested Returns
Allan Gray is very steady at the moment. Allan Gray secures Sharpe Ratio (or Efficiency) of 0.0407, which signifies that the fund had a 0.0407% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Allan Gray , which you can use to evaluate the volatility of the entity. Please confirm Allan Gray's Downside Deviation of 0.734, risk adjusted performance of 0.0435, and Mean Deviation of 0.6296 to double-check if the risk estimate we provide is consistent with the expected return of 0.0345%. The fund shows a Beta (market volatility) of 0.48, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Allan Gray's returns are expected to increase less than the market. However, during the bear market, the loss of holding Allan Gray is expected to be smaller as well.
Auto-correlation | 0.77 |
Good predictability
Allan Gray has good predictability. Overlapping area represents the amount of predictability between Allan Gray time series from 24th of December 2022 to 19th of December 2023 and 19th of December 2023 to 13th 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 Allan Gray price movement. The serial correlation of 0.77 indicates that around 77.0% of current Allan Gray price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.77 | |
| Spearman Rank Test | 0.73 | |
| Residual Average | 0.0 | |
| Price Variance | 31.3 |
Allan Gray lagged returns against current returns
Autocorrelation, which is Allan Gray 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 Allan Gray's fund expected returns. We can calculate the autocorrelation of Allan Gray returns to help us make a trade decision. For example, suppose you find that Allan Gray 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 |
Allan Gray 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 Allan Gray fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Allan Gray fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Allan Gray fund over time.
Current vs Lagged Prices |
| Timeline |
Allan Gray Lagged Returns
When evaluating Allan Gray's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Allan Gray fund have on its future price. Allan Gray 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, Allan Gray autocorrelation shows the relationship between Allan Gray fund current value and its past values and can show if there is a momentum factor associated with investing in Allan Gray .
Regressed Prices |
| Timeline |
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