Brandes International Small Fund Market Value
| BINCX Fund | USD 16.48 0.14 0.86% |
| Symbol | Brandes |
Brandes International '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 Brandes International'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 Brandes International.
| 04/05/2024 |
| 05/05/2024 |
If you would invest 0.00 in Brandes International on April 5, 2024 and sell it all today you would earn a total of 0.00 from holding Brandes International Small or generate 0.0% return on investment in Brandes International over 30 days. Brandes International is related to or competes with Lord Abbett, Absolute Convertible, Virtus Convertible, Putnam Convertible, and Calamos Dynamic. The fund invests at least 80 percent of its net assets measured at the time of purchase in equity securities of small ma... More
Brandes International 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 Brandes International'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 Brandes International Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9095 | |||
| Information Ratio | 0.1872 | |||
| Maximum Drawdown | 3.47 | |||
| Value At Risk | (0.95) | |||
| Potential Upside | 1.19 |
Brandes International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brandes International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brandes International's standard deviation. In reality, there are many statistical measures that can use Brandes International historical prices to predict the future Brandes International's volatility.| Risk Adjusted Performance | 0.1956 | |||
| Jensen Alpha | 0.177 | |||
| Total Risk Alpha | 0.1197 | |||
| Sortino Ratio | 0.1339 | |||
| Treynor Ratio | 0.9314 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brandes International'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.
Brandes International Backtested Returns
Brandes International appears to be very steady, given 3 months investment horizon. Brandes International secures Sharpe Ratio (or Efficiency) of 0.31, which signifies that the fund had a 0.31% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Brandes International Small, which you can use to evaluate the volatility of the entity. Please makes use of Brandes International's risk adjusted performance of 0.1956, and Mean Deviation of 0.4836 to double-check if our risk estimates are consistent with your expectations. The fund shows a Beta (market volatility) of 0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Brandes International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Brandes International is expected to be smaller as well.
Auto-correlation | -0.73 |
Almost perfect reverse predictability
Brandes International Small has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Brandes International time series from 5th of April 2024 to 20th of April 2024 and 20th of April 2024 to 5th of May 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 Brandes International price movement. The serial correlation of -0.73 indicates that around 73.0% of current Brandes International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.73 | |
| Spearman Rank Test | -0.85 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Brandes International lagged returns against current returns
Autocorrelation, which is Brandes International 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 Brandes International's mutual fund expected returns. We can calculate the autocorrelation of Brandes International returns to help us make a trade decision. For example, suppose you find that Brandes International 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 |
Brandes International 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 Brandes International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brandes International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brandes International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Brandes International Lagged Returns
When evaluating Brandes International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brandes International mutual fund have on its future price. Brandes International 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, Brandes International autocorrelation shows the relationship between Brandes International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Brandes International Small.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Brandes International in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Brandes International's short interest history, or implied volatility extrapolated from Brandes International options trading.
Pair Trading with Brandes International
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 Brandes International 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 Brandes International will appreciate offsetting losses from the drop in the long position's value.Moving together with Brandes Mutual Fund
| 0.84 | DISVX | Dfa International Small | PairCorr |
| 0.78 | DFVQX | Dfa International Vector | PairCorr |
| 0.81 | FMNEX | Free Market International | PairCorr |
| 0.72 | KGGIX | Kopernik Global All | PairCorr |
The ability to find closely correlated positions to Brandes International could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Brandes International 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 Brandes International - 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 Brandes International Small to buy it.
The correlation of Brandes International 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 Brandes International moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Brandes International 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 Brandes International 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.Check out Brandes International Correlation, Brandes International Volatility and Brandes International Alpha and Beta module to complement your research on Brandes International. Note that the Brandes International information on this page should be used as a complementary analysis to other Brandes International's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
Brandes International technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.