Total Market Portfolio Fund Market Value
| GTTMX Fund | USD 18.74 0.07 0.37% |
| Symbol | Total |
Total Market '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 Total Market'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 Total Market.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Total Market on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Total Market Portfolio or generate 0.0% return on investment in Total Market over 30 days. Total Market is related to or competes with Fidelity Low-priced, Vanguard Mid-cap, Jpmorgan Mid, and Jpmorgan Mid. The fund invests at least 80 percent of the value of its net assets in long and short positions with respect to equity s... More
Total Market 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 Total Market'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 Total Market Portfolio upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9647 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 4.28 | |||
| Value At Risk | (1.36) | |||
| Potential Upside | 1.25 |
Total Market Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Total Market's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Total Market's standard deviation. In reality, there are many statistical measures that can use Total Market historical prices to predict the future Total Market's volatility.| Risk Adjusted Performance | 0.0424 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0375 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Total Market'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.
Total Market Portfolio Backtested Returns
We consider Total Market very steady. Total Market Portfolio owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0549, which indicates the fund had a 0.0549% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Total Market Portfolio, which you can use to evaluate the volatility of the fund. Please validate Total Market's Risk Adjusted Performance of 0.0424, coefficient of variation of 1563.38, and Semi Deviation of 0.8517 to confirm if the risk estimate we provide is consistent with the expected return of 0.0465%. The entity has a beta of 1.16, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Total Market will likely underperform.
Auto-correlation | 0.30 |
Below average predictability
Total Market Portfolio has below average predictability. Overlapping area represents the amount of predictability between Total Market time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Total Market Portfolio price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current Total Market price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.3 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.09 |
Total Market Portfolio lagged returns against current returns
Autocorrelation, which is Total Market 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 Total Market's mutual fund expected returns. We can calculate the autocorrelation of Total Market returns to help us make a trade decision. For example, suppose you find that Total Market 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 |
Total Market 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 Total Market mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Total Market mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Total Market mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Total Market Lagged Returns
When evaluating Total Market's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Total Market mutual fund have on its future price. Total Market 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, Total Market autocorrelation shows the relationship between Total Market mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Total Market Portfolio.
Regressed Prices |
| Timeline |
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Total Market 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.