Transamerica Large Cap Fund Market Value
| TWQIX Fund | USD 13.99 0.13 0.94% |
| Symbol | Transamerica |
Transamerica Large '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 Large'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 Large.
| 05/05/2022 |
| 04/24/2024 |
If you would invest 0.00 in Transamerica Large on May 5, 2022 and sell it all today you would earn a total of 0.00 from holding Transamerica Large Cap or generate 0.0% return on investment in Transamerica Large over 720 days. Transamerica Large is related to or competes with Us High, Western Asset, Needham Aggressive, California High, Copeland Risk, and Franklin High. Under normal circumstances, the fund will invest at least 80 percent of its net assets in equity securities of large cap... More
Transamerica Large 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 Large'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 Large Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7034 | |||
| Information Ratio | 0.0493 | |||
| Maximum Drawdown | 2.95 | |||
| Value At Risk | (0.99) | |||
| Potential Upside | 1.2 |
Transamerica Large Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transamerica Large's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transamerica Large's standard deviation. In reality, there are many statistical measures that can use Transamerica Large historical prices to predict the future Transamerica Large's volatility.| Risk Adjusted Performance | 0.1269 | |||
| Jensen Alpha | 0.1117 | |||
| Total Risk Alpha | 0.0313 | |||
| Sortino Ratio | 0.0433 | |||
| Treynor Ratio | 2.42 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Transamerica Large'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 Large Cap Backtested Returns
We consider Transamerica Large out of control. Transamerica Large Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.2, which indicates the fund had a 0.2% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Transamerica Large Cap, which you can use to evaluate the volatility of the fund. Please validate Transamerica Large's Coefficient Of Variation of 491.15, risk adjusted performance of 0.1269, and Semi Deviation of 0.4868 to confirm if the risk estimate we provide is consistent with the expected return of 0.13%. The entity has a beta of 0.0478, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Transamerica Large's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transamerica Large is expected to be smaller as well.
Auto-correlation | 0.38 |
Below average predictability
Transamerica Large Cap has below average predictability. Overlapping area represents the amount of predictability between Transamerica Large time series from 5th of May 2022 to 30th of April 2023 and 30th of April 2023 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 Transamerica Large Cap price movement. The serial correlation of 0.38 indicates that just about 38.0% of current Transamerica Large price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.38 | |
| Spearman Rank Test | 0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 0.8 |
Transamerica Large Cap lagged returns against current returns
Autocorrelation, which is Transamerica Large 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 Large's mutual fund expected returns. We can calculate the autocorrelation of Transamerica Large returns to help us make a trade decision. For example, suppose you find that Transamerica Large 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 |
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Transamerica Large 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 Large mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transamerica Large 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 Large mutual fund over time.
Current vs Lagged Prices |
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Transamerica Large Lagged Returns
When evaluating Transamerica Large's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transamerica Large mutual fund have on its future price. Transamerica Large 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 Large autocorrelation shows the relationship between Transamerica Large mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Transamerica Large Cap.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Transamerica Large Correlation, Transamerica Large Volatility and Transamerica Large Alpha and Beta module to complement your research on Transamerica Large. You can also try the Watchlist Optimization module to optimize watchlists to build efficient portfolios or rebalance existing positions based on the mean-variance optimization algorithm.
Transamerica Large 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.