Russell Investments Global Fund Market Value
| 0P0000YW39 | 16.68 0.01 0.06% |
| Symbol | Russell |
Russell Investments '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 Russell Investments' 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 Russell Investments.
| 09/03/2024 |
| 12/02/2024 |
If you would invest 0.00 in Russell Investments on September 3, 2024 and sell it all today you would earn a total of 0.00 from holding Russell Investments Global or generate 0.0% return on investment in Russell Investments over 90 days.
Russell Investments 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 Russell Investments' 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 Russell Investments Global upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5449 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 2.0 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.8161 |
Russell Investments Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Russell Investments' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Russell Investments' standard deviation. In reality, there are many statistical measures that can use Russell Investments historical prices to predict the future Russell Investments' volatility.| Risk Adjusted Performance | 0.1682 | |||
| Jensen Alpha | 0.1025 | |||
| Total Risk Alpha | 0.0206 | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 3.48 |
Russell Investments Backtested Returns
At this stage we consider Russell Fund to be very steady. Russell Investments maintains Sharpe Ratio (i.e., Efficiency) of 0.23, which implies the entity had a 0.23% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Russell Investments, which you can use to evaluate the volatility of the fund. Please check Russell Investments' Risk Adjusted Performance of 0.1682, semi deviation of 0.34, and Coefficient Of Variation of 441.63 to confirm if the risk estimate we provide is consistent with the expected return of 0.12%. The fund holds a Beta of 0.0306, which implies not very significant fluctuations relative to the market. As returns on the market increase, Russell Investments' returns are expected to increase less than the market. However, during the bear market, the loss of holding Russell Investments is expected to be smaller as well.
Auto-correlation | 0.24 |
Weak predictability
Russell Investments Global has weak predictability. Overlapping area represents the amount of predictability between Russell Investments time series from 3rd of September 2024 to 18th of October 2024 and 18th of October 2024 to 2nd 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 Russell Investments price movement. The serial correlation of 0.24 indicates that over 24.0% of current Russell Investments price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.24 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Russell Investments lagged returns against current returns
Autocorrelation, which is Russell Investments 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 Russell Investments' fund expected returns. We can calculate the autocorrelation of Russell Investments returns to help us make a trade decision. For example, suppose you find that Russell Investments 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 |
Russell Investments 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 Russell Investments fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Russell Investments fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Russell Investments fund over time.
Current vs Lagged Prices |
| Timeline |
Russell Investments Lagged Returns
When evaluating Russell Investments' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Russell Investments fund have on its future price. Russell Investments 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, Russell Investments autocorrelation shows the relationship between Russell Investments fund current value and its past values and can show if there is a momentum factor associated with investing in Russell Investments Global.
Regressed Prices |
| Timeline |
Pair Trading with Russell Investments
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 Russell Investments 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 Russell Investments will appreciate offsetting losses from the drop in the long position's value.Moving together with Russell Fund
| 0.87 | 0P0000706A | RBC Select Balanced | PairCorr |
| 0.86 | 0P00007069 | RBC Portefeuille | PairCorr |
| 0.79 | 0P0000IUYO | Edgepoint Global Por | PairCorr |
| 0.83 | 0P0001FAU8 | TD Comfort Balanced | PairCorr |
| 0.85 | 0P00012UCU | RBC Global Equity | PairCorr |
The ability to find closely correlated positions to Russell Investments could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Russell Investments 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 Russell Investments - 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 Russell Investments Global to buy it.
The correlation of Russell Investments 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 Russell Investments moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Russell Investments 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 Russell Investments 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 | |
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