Mirova Global Green Fund Market Value
| MGGNX Fund | USD 8.46 0.03 0.35% |
| Symbol | Mirova |
Mirova 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 Mirova 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 Mirova Global.
| 02/18/2024 |
| 05/18/2024 |
If you would invest 0.00 in Mirova Global on February 18, 2024 and sell it all today you would earn a total of 0.00 from holding Mirova Global Green or generate 0.0% return on investment in Mirova Global over 90 days. Mirova Global is related to or competes with Asg Managed, Asg Managed, Natixis Oakmark, Natixis Oakmark, Natixis Oakmark, Gateway Equity, and Gateway Equity. The fund will normally invest at least 80 percent of its net assets in green bonds More
Mirova 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 Mirova 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 Mirova Global Green upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.2953 | |||
| Information Ratio | (0.30) | |||
| Maximum Drawdown | 1.18 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.4745 |
Mirova Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mirova Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mirova Global's standard deviation. In reality, there are many statistical measures that can use Mirova Global historical prices to predict the future Mirova Global's volatility.| Risk Adjusted Performance | 0.0088 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.30) | |||
| Treynor Ratio | (0) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mirova 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.
Mirova Global Green Backtested Returns
We consider Mirova Global very steady. Mirova Global Green has Sharpe Ratio of 0.0265, which conveys that the entity had a 0.0265% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Mirova Global, which you can use to evaluate the volatility of the fund. Please verify Mirova Global's Downside Deviation of 0.2953, risk adjusted performance of 0.0088, and Mean Deviation of 0.2435 to check out if the risk estimate we provide is consistent with the expected return of 0.008%. The fund secures a Beta (Market Risk) of 0.15, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Mirova Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Mirova Global is expected to be smaller as well.
Auto-correlation | -0.23 |
Weak reverse predictability
Mirova Global Green has weak reverse predictability. Overlapping area represents the amount of predictability between Mirova Global time series from 18th of February 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Mirova Global Green price movement. The serial correlation of -0.23 indicates that over 23.0% of current Mirova Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Mirova Global Green lagged returns against current returns
Autocorrelation, which is Mirova 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 Mirova Global's mutual fund expected returns. We can calculate the autocorrelation of Mirova Global returns to help us make a trade decision. For example, suppose you find that Mirova 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 |
Mirova 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 Mirova Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mirova 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 Mirova Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Mirova Global Lagged Returns
When evaluating Mirova Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mirova Global mutual fund have on its future price. Mirova 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, Mirova Global autocorrelation shows the relationship between Mirova Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Mirova Global Green.
Regressed Prices |
| Timeline |
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Check out Mirova Global Correlation, Mirova Global Volatility and Mirova Global Alpha and Beta module to complement your research on Mirova Global. You can also try the Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Mirova Global 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.