Transamerica Mid Cap Fund Market Value
MCGAX Fund | USD 9.43 0.02 0.21% |
Symbol | Transamerica |
Transamerica Mid '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 Transamerica Mid'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 Transamerica Mid.
04/08/2022 |
| 03/28/2024 |
If you would invest 0.00 in Transamerica Mid on April 8, 2022 and sell it all today you would earn a total of 0.00 from holding Transamerica Mid Cap or generate 0.0% return on investment in Transamerica Mid over 720 days. Transamerica Mid is related to or competes with Locorr Longshort, Jhancock Short, Franklin Federal, 361 Domestic, Touchstone Ultra, Vanguard Short-term, and Rbc Short. The fund normally invests primarily in stocks of medium sized companies which the funds sub-adviser believes will earn h... More
Transamerica Mid 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 Transamerica Mid'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 Transamerica Mid Cap upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.9991 | |||
Information Ratio | 0.0506 | |||
Maximum Drawdown | 4.62 | |||
Value At Risk | (1.46) | |||
Potential Upside | 1.79 |
Transamerica Mid Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transamerica Mid's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transamerica Mid's standard deviation. In reality, there are many statistical measures that can use Transamerica Mid historical prices to predict the future Transamerica Mid's volatility.Risk Adjusted Performance | 0.1121 | |||
Jensen Alpha | 0.1629 | |||
Total Risk Alpha | (0.04) | |||
Sortino Ratio | 0.0473 | |||
Treynor Ratio | 2.48 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Transamerica Mid'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.
Transamerica Mid Cap Backtested Returns
We consider Transamerica Mid very steady. Transamerica Mid Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the fund had a 0.16% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Transamerica Mid Cap, which you can use to evaluate the volatility of the fund. Please validate Transamerica Mid's Semi Deviation of 0.7822, risk adjusted performance of 0.1121, and Coefficient Of Variation of 514.19 to confirm if the risk estimate we provide is consistent with the expected return of 0.15%. The entity has a beta of 0.0691, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Transamerica Mid's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transamerica Mid is expected to be smaller as well.
Auto-correlation | 0.18 |
Very weak predictability
Transamerica Mid Cap has very weak predictability. Overlapping area represents the amount of predictability between Transamerica Mid time series from 8th of April 2022 to 3rd of April 2023 and 3rd of April 2023 to 28th of March 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 Transamerica Mid Cap price movement. The serial correlation of 0.18 indicates that over 18.0% of current Transamerica Mid price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.18 | |
Spearman Rank Test | -0.02 | |
Residual Average | 0.0 | |
Price Variance | 0.39 |
Transamerica Mid Cap lagged returns against current returns
Autocorrelation, which is Transamerica Mid 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 Transamerica Mid's mutual fund expected returns. We can calculate the autocorrelation of Transamerica Mid returns to help us make a trade decision. For example, suppose you find that Transamerica Mid 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 |
Transamerica Mid 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 Transamerica Mid mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transamerica Mid mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transamerica Mid mutual fund over time.
Current vs Lagged Prices |
Timeline |
Transamerica Mid Lagged Returns
When evaluating Transamerica Mid's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transamerica Mid mutual fund have on its future price. Transamerica Mid 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, Transamerica Mid autocorrelation shows the relationship between Transamerica Mid mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Transamerica Mid Cap.
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 Transamerica Mid 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, Transamerica Mid's short interest history, or implied volatility extrapolated from Transamerica Mid options trading.
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Try AI Portfolio ArchitectCheck out Transamerica Mid Correlation, Transamerica Mid Volatility and Transamerica Mid Alpha and Beta module to complement your research on Transamerica Mid. Note that the Transamerica Mid Cap information on this page should be used as a complementary analysis to other Transamerica Mid'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.
Complementary Tools for Transamerica Mutual Fund analysis
When running Transamerica Mid's price analysis, check to measure Transamerica Mid's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Transamerica Mid is operating at the current time. Most of Transamerica Mid's value examination focuses on studying past and present price action to predict the probability of Transamerica Mid's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Transamerica Mid's price. Additionally, you may evaluate how the addition of Transamerica Mid to your portfolios can decrease your overall portfolio volatility.
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Transamerica Mid 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.