TIAA CREF Backtesting

TIAA CREF Large Cap Value Retire -- USA Fund  

USD 19.79  0.00  0.00%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of TIAA CREF Large Cap Value Retire and determine expected loss or profit from investing in TIAA CREF over given investment horizon. Also please take a look at TIAA CREF Hype Analysis, TIAA CREF Correlation, Portfolio Optimization, TIAA CREF Volatility as well as analyze TIAA CREF Alpha and Beta and TIAA CREF Performance
 Time Horizon     30 Days    Login   to change

TIAA CREF 'What if' Analysis

December 18, 2017
No Change 0.00  0.0%
In 30 days
January 17, 2018
If you would invest  0.00  in TIAA CREF on December 18, 2017 and sell it all today you would earn a total of 0.00 from holding TIAA CREF Large Cap Value Retire or generate 0.0% return on investment in TIAA CREF over 30 days. TIAA CREF is related to or competes with American Funds, BlackRock Equity, BlackRock Equity, JHancock Disciplined, JHancock Disciplined, and AIG Focused. The investment seeks a favorable long-term total return, mainly through capital appreciation, primarily from equity secu...

TIAA CREF Upside/Downside Indicators


TIAA CREF Market Premium Indicators

TIAA CREF Large lagged returns against current returns

 Current and Lagged Values 

TIAA CREF regressed lagged prices vs. current prices

 Current vs Lagged Prices 

TIAA CREF Large Backtested Returns

Macroaxis considers TIAA CREF not too risky given 1 month investment horizon. TIAA CREF Large retains Efficiency (Sharpe Ratio) of 0.5637 which indicates TIAA CREF Large had 0.5637% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a fund is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty technical indicators for TIAA CREF which you can use to evaluate future volatility of the fund. Please operate TIAA CREF Large Cap Value Retire Risk Adjusted Performance of 0.1991 and Coefficient Of Variation of 197.07 to confirm if our risk estimates are consistent with your expectations. The entity owns Beta (Systematic Risk) of 0.96 which indicates TIAA CREF returns are very sensitive to returns on the market. as market goes up or down, TIAA CREF is expected to follow.. Although it is extremely important to respect TIAA CREF Large existing price patterns, it is better to be realistic regarding the information on equity price patterns. The philosophy towards measuring future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By evaluating TIAA CREF Large technical indicators you can today evaluate if the expected return of 0.2405% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.72 

Good predictability

TIAA CREF Large Cap Value Retire has good predictability. Overlapping area represents the amount of predictability between TIAA CREF time series from December 18, 2017 to January 2, 2018 and January 2, 2018 to January 17, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of TIAA CREF Large price movement. The serial correlation of 0.72 indicates that around 72.0% of current TIAA CREF price fluctuation can be explain by its past prices.
Correlation Coefficient 0.72
Spearman Rank Test 0.76
Price Variance 0.04
Lagged Price Variance 0.01

TIAA CREF Lagged Returns

 Regressed Prices 

TIAA CREF Performance vs DOW

The median price of TIAA CREF for the period between Mon, Dec 18, 2017 and Wed, Jan 17, 2018 is 19.04 with a coefficient of variation of 1.7. The daily time series for the period is distributed with a sample standard deviation of 0.33, arithmetic mean of 19.12, and mean deviation of 0.27. The Fund did not receive any noticable media coverage during the period.
Price Growth (%)