Transamerica Large Cap Backtested Returns
Macroaxis considers Transamerica Large to be not very risky. Transamerica Large Cap
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0935 which indicates Transamerica Large Cap
had -0.0935% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. Transamerica Large Cap Value A exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Transamerica Large Coefficient Of Variation
of 1,537 and Risk Adjusted Performance of 0.11 to confirm risk estimate we provide. The entity has beta of -0.3807 which indicates as returns on market increase, returns on owning Transamerica Large are expected to decrease at a much smaller rate. During bear market, Transamerica Large is likely to outperform the market.. Even though it is essential to pay attention to Transamerica Large Cap current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Transamerica Large Cap Value A exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.48) |
Modest reverse predictability
Transamerica Large Cap Value A has modest reverse predictability. Overlapping area represents the amount of predictability between Transamerica Large time series from January 19, 2018 to February 3, 2018 and February 3, 2018 to February 18, 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 Transamerica Large Cap price movement. The serial correlation of -0.48 indicates that about 48.0% of current Transamerica Large price fluctuation can be explain by its past prices. Given that Transamerica Large Cap Value A has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Transamerica Large for similar time interval.
|Correlation Coefficient|| -0.48|
|Spearman Rank Test|| -0.08|
|Price Variance|| 0.03|
|Lagged Price Variance|| 0.01|
Transamerica Large Lagged Returns