Gmo International Equity Fund Market Value
| GMCFX Fund | USD 23.45 0.07 0.30% |
| Symbol | Gmo |
Gmo 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 Gmo 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 Gmo International.
| 06/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Gmo International on June 28, 2023 and sell it all today you would earn a total of 0.00 from holding Gmo International Equity or generate 0.0% return on investment in Gmo International over 300 days. Gmo International is related to or competes with Gmo Core, Gmo Us, Gmo Trust, Gmo Emerging, Gmo Emerging, Gmo Emerging, and Gmo Global. Under normal circumstances, the fund invests directly and indirectly at least 80 percent of its assets in equities More
Gmo 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 Gmo 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 Gmo International Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6954 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 2.8 | |||
| Value At Risk | (1.26) | |||
| Potential Upside | 0.9888 |
Gmo International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo International's standard deviation. In reality, there are many statistical measures that can use Gmo International historical prices to predict the future Gmo International's volatility.| Risk Adjusted Performance | 0.0642 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0677 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo 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.
Gmo International Equity Backtested Returns
We consider Gmo International very steady. Gmo International Equity holds Efficiency (Sharpe) Ratio of 0.0742, which attests that the entity had a 0.0742% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Gmo International Equity, which you can use to evaluate the volatility of the entity. Please check out Gmo International's Risk Adjusted Performance of 0.0642, downside deviation of 0.6954, and Market Risk Adjusted Performance of 0.0777 to validate if the risk estimate we provide is consistent with the expected return of 0.0458%. The fund retains a Market Volatility (i.e., Beta) of 0.81, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Gmo International's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo International is expected to be smaller as well.
Auto-correlation | -0.69 |
Very good reverse predictability
Gmo International Equity has very good reverse predictability. Overlapping area represents the amount of predictability between Gmo International time series from 28th of June 2023 to 25th of November 2023 and 25th of November 2023 to 23rd of April 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 Gmo International Equity price movement. The serial correlation of -0.69 indicates that around 69.0% of current Gmo International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 0.56 |
Gmo International Equity lagged returns against current returns
Autocorrelation, which is Gmo 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 Gmo International's mutual fund expected returns. We can calculate the autocorrelation of Gmo International returns to help us make a trade decision. For example, suppose you find that Gmo 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 |
Gmo 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 Gmo International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo 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 Gmo International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo International Lagged Returns
When evaluating Gmo International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo International mutual fund have on its future price. Gmo 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, Gmo International autocorrelation shows the relationship between Gmo International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo International Equity.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Gmo International Correlation, Gmo International Volatility and Gmo International Alpha and Beta module to complement your research on Gmo International. Note that the Gmo International Equity information on this page should be used as a complementary analysis to other Gmo 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 Insider Screener module to find insiders across different sectors to evaluate their impact on performance.
Gmo 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.