Goldman Sachs Centrated Fund Market Value
GCGUX Fund | USD 18.33 5.56 23.27% |
Symbol | Goldman |
Goldman Sachs '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 Goldman Sachs' 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 Goldman Sachs.
06/04/2022 |
| 04/24/2024 |
If you would invest 0.00 in Goldman Sachs on June 4, 2022 and sell it all today you would earn a total of 0.00 from holding Goldman Sachs Centrated or generate 0.0% return on investment in Goldman Sachs over 690 days. Goldman Sachs is related to or competes with Blrc Sgy, Mirova Global, Morningstar Defensive, Ab Bond, and Bbh Intermediate. The fund invests at least 90 percent of its total assets measured at the time of purchase in equity investments selected... More
Goldman Sachs 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 Goldman Sachs' 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 Goldman Sachs Centrated upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.14) | |||
Maximum Drawdown | 26.33 | |||
Value At Risk | (1.40) | |||
Potential Upside | 1.48 |
Goldman Sachs Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Goldman Sachs' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Goldman Sachs' standard deviation. In reality, there are many statistical measures that can use Goldman Sachs historical prices to predict the future Goldman Sachs' volatility.Risk Adjusted Performance | (0.06) | |||
Jensen Alpha | (0.28) | |||
Total Risk Alpha | (0.76) | |||
Treynor Ratio | 0.4697 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Goldman Sachs' 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.
Goldman Sachs Centrated Backtested Returns
Goldman Sachs Centrated holds Efficiency (Sharpe) Ratio of -0.11, which attests that the entity had a -0.11% return per unit of risk over the last 3 months. Goldman Sachs Centrated exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Goldman Sachs' Standard Deviation of 3.1, risk adjusted performance of (0.06), and Market Risk Adjusted Performance of 0.4797 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of -0.73, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Goldman Sachs are expected to decrease at a much lower rate. During the bear market, Goldman Sachs is likely to outperform the market.
Auto-correlation | 0.61 |
Good predictability
Goldman Sachs Centrated has good predictability. Overlapping area represents the amount of predictability between Goldman Sachs time series from 4th of June 2022 to 15th of May 2023 and 15th of May 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 Goldman Sachs Centrated price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Goldman Sachs price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.61 | |
Spearman Rank Test | 0.37 | |
Residual Average | 0.0 | |
Price Variance | 3.43 |
Goldman Sachs Centrated lagged returns against current returns
Autocorrelation, which is Goldman Sachs 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 Goldman Sachs' mutual fund expected returns. We can calculate the autocorrelation of Goldman Sachs returns to help us make a trade decision. For example, suppose you find that Goldman Sachs 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 |
Goldman Sachs 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 Goldman Sachs mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Goldman Sachs mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Goldman Sachs mutual fund over time.
Current vs Lagged Prices |
Timeline |
Goldman Sachs Lagged Returns
When evaluating Goldman Sachs' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Goldman Sachs mutual fund have on its future price. Goldman Sachs 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, Goldman Sachs autocorrelation shows the relationship between Goldman Sachs mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Goldman Sachs Centrated.
Regressed Prices |
Timeline |
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Goldman Sachs 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.