Large Cap Core Fund Market Value
| GTLIX Fund | USD 23.05 0.21 0.92% |
| Symbol | Large |
Large Cap '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 Large Cap'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 Large Cap.
| 05/05/2022 |
| 04/24/2024 |
If you would invest 0.00 in Large Cap on May 5, 2022 and sell it all today you would earn a total of 0.00 from holding Large Cap Core or generate 0.0% return on investment in Large Cap over 720 days. Large Cap is related to or competes with Glenmede International, Equity Income, Woman In, High Yield, Secured Options, Quantitative, and Quantitative. The fund invests at least 80 percent of the value of its net assets in equity securities, such as common stocks, of larg... More
Large Cap 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 Large Cap'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 Large Cap Core upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.885 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 2.98 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.02 |
Large Cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Large Cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Large Cap's standard deviation. In reality, there are many statistical measures that can use Large Cap historical prices to predict the future Large Cap's volatility.| Risk Adjusted Performance | 0.0421 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0354 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Large Cap'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.
Large Cap Core Backtested Returns
We consider Large Cap very steady. Large Cap Core has Sharpe Ratio of 0.0429, which conveys that the entity had a 0.0429% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Large Cap, which you can use to evaluate the volatility of the fund. Please verify Large Cap's Mean Deviation of 0.5592, risk adjusted performance of 0.0421, and Downside Deviation of 0.885 to check out if the risk estimate we provide is consistent with the expected return of 0.0316%. The fund secures a Beta (Market Risk) of 1.07, which conveys a somewhat significant risk relative to the market. Large Cap returns are very sensitive to returns on the market. As the market goes up or down, Large Cap is expected to follow.
Auto-correlation | 0.36 |
Below average predictability
Large Cap Core has below average predictability. Overlapping area represents the amount of predictability between Large Cap 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 Large Cap Core price movement. The serial correlation of 0.36 indicates that just about 36.0% of current Large Cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.36 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 1.69 |
Large Cap Core lagged returns against current returns
Autocorrelation, which is Large Cap 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 Large Cap's mutual fund expected returns. We can calculate the autocorrelation of Large Cap returns to help us make a trade decision. For example, suppose you find that Large Cap 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 |
Large Cap 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 Large Cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Large Cap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Large Cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Large Cap Lagged Returns
When evaluating Large Cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Large Cap mutual fund have on its future price. Large Cap 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, Large Cap autocorrelation shows the relationship between Large Cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Large Cap Core.
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 Large Cap 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, Large Cap's short interest history, or implied volatility extrapolated from Large Cap 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 Large Cap Correlation, Large Cap Volatility and Large Cap Alpha and Beta module to complement your research on Large Cap. You can also try the Equity Analysis module to research over 250,000 global equities including funds, stocks and ETFs to find investment opportunities.
Large Cap 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.