Jhancock Global Climate Fund Market Value
| JLFSX Fund | 11.07 0.64 5.47% |
| Symbol | Jhancock |
Jhancock 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 Jhancock Global'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 Jhancock Global.
| 11/23/2024 |
| 12/23/2024 |
If you would invest 0.00 in Jhancock Global on November 23, 2024 and sell it all today you would earn a total of 0.00 from holding Jhancock Global Climate or generate 0.0% return on investment in Jhancock Global over 30 days.
Jhancock 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 Jhancock Global'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 Jhancock Global Climate upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.15) | |||
| Maximum Drawdown | 3.37 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 0.9483 |
Jhancock Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Jhancock Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Jhancock Global's standard deviation. In reality, there are many statistical measures that can use Jhancock Global historical prices to predict the future Jhancock Global's volatility.| Risk Adjusted Performance | (0.09) | |||
| Jensen Alpha | (0.13) | |||
| Total Risk Alpha | (0.15) | |||
| Treynor Ratio | (0.25) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Jhancock Global'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.
Jhancock Global Climate Backtested Returns
Jhancock Global Climate holds Efficiency (Sharpe) Ratio of -0.12, which attests that the entity had a -0.12% return per unit of risk over the last 3 months. Jhancock Global Climate exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Jhancock Global's Standard Deviation of 0.9387, risk adjusted performance of (0.09), and Market Risk Adjusted Performance of (0.24) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.48, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Jhancock Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Jhancock Global is expected to be smaller as well.
Auto-correlation | -0.52 |
Good reverse predictability
Jhancock Global Climate has good reverse predictability. Overlapping area represents the amount of predictability between Jhancock Global time series from 23rd of November 2024 to 8th of December 2024 and 8th of December 2024 to 23rd 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 Jhancock Global Climate price movement. The serial correlation of -0.52 indicates that about 52.0% of current Jhancock Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.52 | |
| Spearman Rank Test | -0.64 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Jhancock Global Climate lagged returns against current returns
Autocorrelation, which is Jhancock Global 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 Jhancock Global's mutual fund expected returns. We can calculate the autocorrelation of Jhancock Global returns to help us make a trade decision. For example, suppose you find that Jhancock Global 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 |
Jhancock 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 Jhancock Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Jhancock Global mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Jhancock Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Jhancock Global Lagged Returns
When evaluating Jhancock Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Jhancock Global mutual fund have on its future price. Jhancock 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, Jhancock Global autocorrelation shows the relationship between Jhancock Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Jhancock Global Climate.
Regressed Prices |
| Timeline |
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