Gotham Hedged E Fund Market Value
| GCHDX Fund | USD 12.17 0.10 0.83% |
| Symbol | Gotham |
Gotham Hedged '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 Gotham Hedged'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 Gotham Hedged.
| 02/24/2024 |
| 04/24/2024 |
If you would invest 0.00 in Gotham Hedged on February 24, 2024 and sell it all today you would earn a total of 0.00 from holding Gotham Hedged E or generate 0.0% return on investment in Gotham Hedged over 60 days. Gotham Hedged is related to or competes with Ab Impact, California High, Bbh Intermediate, Alliancebernstein, Baird Strategic, and Pace Municipal. The investment seeks long-term capital appreciation and to achieve positive returns during most annual periods in an eff... More
Gotham Hedged 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 Gotham Hedged'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 Gotham Hedged E upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.665 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 2.58 | |||
| Value At Risk | (0.82) | |||
| Potential Upside | 0.9901 |
Gotham Hedged Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gotham Hedged's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gotham Hedged's standard deviation. In reality, there are many statistical measures that can use Gotham Hedged historical prices to predict the future Gotham Hedged's volatility.| Risk Adjusted Performance | 0.0685 | |||
| Jensen Alpha | 0.0395 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.463 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gotham Hedged'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.
Gotham Hedged E Backtested Returns
We consider Gotham Hedged very steady. Gotham Hedged E 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. We have found twenty-seven technical indicators for Gotham Hedged E, which you can use to evaluate the volatility of the entity. Please check out Gotham Hedged's Risk Adjusted Performance of 0.0685, downside deviation of 0.665, and Market Risk Adjusted Performance of 0.473 to validate if the risk estimate we provide is consistent with the expected return of 0.0584%. The fund retains a Market Volatility (i.e., Beta) of 0.1, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Gotham Hedged's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gotham Hedged is expected to be smaller as well.
Auto-correlation | -0.8 |
Almost perfect reverse predictability
Gotham Hedged E has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Gotham Hedged time series from 24th of February 2024 to 25th of March 2024 and 25th of March 2024 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 Gotham Hedged E price movement. The serial correlation of -0.8 indicates that around 80.0% of current Gotham Hedged price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.8 | |
| Spearman Rank Test | -0.81 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Gotham Hedged E lagged returns against current returns
Autocorrelation, which is Gotham Hedged 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 Gotham Hedged's mutual fund expected returns. We can calculate the autocorrelation of Gotham Hedged returns to help us make a trade decision. For example, suppose you find that Gotham Hedged 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 |
Gotham Hedged 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 Gotham Hedged mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gotham Hedged mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Gotham Hedged mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gotham Hedged Lagged Returns
When evaluating Gotham Hedged's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gotham Hedged mutual fund have on its future price. Gotham Hedged 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, Gotham Hedged autocorrelation shows the relationship between Gotham Hedged mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gotham Hedged E.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Gotham Hedged Correlation, Gotham Hedged Volatility and Gotham Hedged Alpha and Beta module to complement your research on Gotham Hedged. Note that the Gotham Hedged E information on this page should be used as a complementary analysis to other Gotham Hedged'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 Aroon Oscillator module to analyze current equity momentum using Aroon Oscillator and other momentum ratios.
Gotham Hedged 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.