Great West Sp Small Fund Market Value
| MXERX Fund | USD 6.24 0.05 0.81% |
| Symbol | Great-west |
Great-west '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 Great-west'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 Great-west.
| 07/27/2023 |
| 04/22/2024 |
If you would invest 0.00 in Great-west on July 27, 2023 and sell it all today you would earn a total of 0.00 from holding Great West Sp Small or generate 0.0% return on investment in Great-west over 270 days. Great-west is related to or competes with Great-west Securefoundation, Great-west Lifetime, Great-west Lifetime, Great-west Lifetime, Great-west Lifetime, Great-west Lifetime, and Great-west Moderately. The fund normally invests at least 80 percent of its net assets in common stocks of the companies included in the benchm... More
Great-west 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 Great-west'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 Great West Sp Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.32 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 6.74 | |||
| Value At Risk | (1.66) | |||
| Potential Upside | 2.07 |
Great-west Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great-west's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great-west's standard deviation. In reality, there are many statistical measures that can use Great-west historical prices to predict the future Great-west's volatility.| Risk Adjusted Performance | 0.0172 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | 0.0108 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Great-west'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.
Great West Sp Backtested Returns
Great West Sp holds Efficiency (Sharpe) Ratio of -0.0275, which attests that the entity had a -0.0275% return per unit of risk over the last 3 months. Great West Sp exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Great-west's Downside Deviation of 1.32, market risk adjusted performance of 0.0208, and Risk Adjusted Performance of 0.0172 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 1.3, which attests to a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Great-west will likely underperform.
Auto-correlation | -0.33 |
Poor reverse predictability
Great West Sp Small has poor reverse predictability. Overlapping area represents the amount of predictability between Great-west time series from 27th of July 2023 to 9th of December 2023 and 9th of December 2023 to 22nd 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 Great West Sp price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current Great-west price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.33 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Great West Sp lagged returns against current returns
Autocorrelation, which is Great-west 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 Great-west's mutual fund expected returns. We can calculate the autocorrelation of Great-west returns to help us make a trade decision. For example, suppose you find that Great-west 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 |
Great-west 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 Great-west mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great-west mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Great-west mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Great-west Lagged Returns
When evaluating Great-west's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great-west mutual fund have on its future price. Great-west 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, Great-west autocorrelation shows the relationship between Great-west mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Great West Sp Small.
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 Great-west 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, Great-west's short interest history, or implied volatility extrapolated from Great-west options trading.
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Great-west 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.