Ci Global Unconstrained Fund Market Value
| CUBD Fund | 20.69 0.15 0.73% |
| Symbol | CUBD |
CI 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 CI 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 CI Global.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in CI Global on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding CI Global Unconstrained or generate 0.0% return on investment in CI Global over 30 days.
CI 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 CI 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 CI Global Unconstrained upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2955 | |||
| Information Ratio | (0.38) | |||
| Maximum Drawdown | 1.08 | |||
| Value At Risk | (0.34) | |||
| Potential Upside | 0.5408 |
CI Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for CI Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as CI Global's standard deviation. In reality, there are many statistical measures that can use CI Global historical prices to predict the future CI Global's volatility.| Risk Adjusted Performance | 0.0641 | |||
| Jensen Alpha | 0.0138 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.30) | |||
| Treynor Ratio | 0.7065 |
CI Global Unconstrained Backtested Returns
As of now, CUBD Fund is very steady. CI Global Unconstrained retains Efficiency (Sharpe Ratio) of 0.12, which signifies that the fund had a 0.12% return per unit of price deviation over the last 3 months. We have found twenty-seven technical indicators for CI Global, which you can use to evaluate the volatility of the entity. Please confirm CI Global's Standard Deviation of 0.2272, variance of 0.0516, and Market Risk Adjusted Performance of 0.7165 to double-check if the risk estimate we provide is consistent with the expected return of 0.0269%. The fund owns a Beta (Systematic Risk) of 0.0228, which signifies not very significant fluctuations relative to the market. As returns on the market increase, CI Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding CI Global is expected to be smaller as well.
Auto-correlation | 0.67 |
Good predictability
CI Global Unconstrained has good predictability. Overlapping area represents the amount of predictability between CI Global time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th 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 CI Global Unconstrained price movement. The serial correlation of 0.67 indicates that around 67.0% of current CI Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.78 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
CI Global Unconstrained lagged returns against current returns
Autocorrelation, which is CI 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 CI Global's fund expected returns. We can calculate the autocorrelation of CI Global returns to help us make a trade decision. For example, suppose you find that CI 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 |
CI 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 CI Global fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if CI Global fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in CI Global fund over time.
Current vs Lagged Prices |
| Timeline |
CI Global Lagged Returns
When evaluating CI Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of CI Global fund have on its future price. CI 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, CI Global autocorrelation shows the relationship between CI Global fund current value and its past values and can show if there is a momentum factor associated with investing in CI Global Unconstrained.
Regressed Prices |
| Timeline |
Pair Trading with CI 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 CI 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 CI Global will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to CI 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 CI 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 CI 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 CI Global Unconstrained to buy it.
The correlation of CI 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 CI Global moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if CI Global Unconstrained 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 CI 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.| Watchlist Optimization Optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm | |
| Efficient Frontier Plot and analyze your portfolio and positions against risk-return landscape of the market. | |
| Risk-Return Analysis View associations between returns expected from investment and the risk you assume | |
| Portfolio Comparator Compare the composition, asset allocations and performance of any two portfolios in your account |