Gmo Alternative Allocation Fund Market Value
GAAGX Fund | USD 18.02 0.05 0.28% |
Symbol | Gmo |
Gmo Alternative '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 Gmo Alternative'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 Gmo Alternative.
05/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in Gmo Alternative on May 24, 2023 and sell it all today you would earn a total of 0.00 from holding Gmo Alternative Allocation or generate 0.0% return on investment in Gmo Alternative over 330 days. Gmo Alternative is related to or competes with Blackrock Alternative, Blackstone Alternative, Aqr Style, and Blackstone Alternative. The fund invests directly or indirectly in a combination of GMO investment strategies More
Gmo Alternative 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 Gmo Alternative'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 Gmo Alternative Allocation upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.34) | |||
Maximum Drawdown | 1.1 | |||
Value At Risk | (0.38) | |||
Potential Upside | 0.3857 |
Gmo Alternative Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Alternative's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Alternative's standard deviation. In reality, there are many statistical measures that can use Gmo Alternative historical prices to predict the future Gmo Alternative's volatility.Risk Adjusted Performance | (0.09) | |||
Jensen Alpha | (0.04) | |||
Total Risk Alpha | (0.05) | |||
Treynor Ratio | (0.21) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Alternative'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.
Gmo Alternative Allo Backtested Returns
Gmo Alternative Allo holds Efficiency (Sharpe) Ratio of -0.09, which attests that the entity had a -0.09% return per unit of risk over the last 3 months. Gmo Alternative Allo exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Gmo Alternative's Market Risk Adjusted Performance of (0.20), standard deviation of 0.2378, and Risk Adjusted Performance of (0.09) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.17, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Gmo Alternative's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Alternative is expected to be smaller as well.
Auto-correlation | 0.67 |
Good predictability
Gmo Alternative Allocation has good predictability. Overlapping area represents the amount of predictability between Gmo Alternative time series from 24th of May 2023 to 5th of November 2023 and 5th of November 2023 to 18th 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 Gmo Alternative Allo price movement. The serial correlation of 0.67 indicates that around 67.0% of current Gmo Alternative price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.67 | |
Spearman Rank Test | 0.47 | |
Residual Average | 0.0 | |
Price Variance | 0.02 |
Gmo Alternative Allo lagged returns against current returns
Autocorrelation, which is Gmo Alternative 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 Gmo Alternative's mutual fund expected returns. We can calculate the autocorrelation of Gmo Alternative returns to help us make a trade decision. For example, suppose you find that Gmo Alternative 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 |
Gmo Alternative 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 Gmo Alternative mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Alternative mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Gmo Alternative mutual fund over time.
Current vs Lagged Prices |
Timeline |
Gmo Alternative Lagged Returns
When evaluating Gmo Alternative's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Alternative mutual fund have on its future price. Gmo Alternative 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, Gmo Alternative autocorrelation shows the relationship between Gmo Alternative mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Alternative Allocation.
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 Gmo Alternative 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, Gmo Alternative's short interest history, or implied volatility extrapolated from Gmo Alternative options trading.
Building efficient market-beating portfolios requires time, education, and a lot of computing power!
The Portfolio Architect is an AI-driven system that provides multiple benefits to our users by leveraging cutting-edge machine learning algorithms, statistical analysis, and predictive modeling to automate the process of asset selection and portfolio construction, saving time and reducing human error for individual and institutional investors.
Try AI Portfolio ArchitectCheck out Gmo Alternative Correlation, Gmo Alternative Volatility and Gmo Alternative Alpha and Beta module to complement your research on Gmo Alternative. Note that the Gmo Alternative Allo information on this page should be used as a complementary analysis to other Gmo Alternative'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 Money Managers module to screen money managers from public funds and ETFs managed around the world.
Gmo Alternative 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.