Great West Goldman Sachs Fund Market Value
| MXKJX Fund | USD 8.37 0.04 0.48% |
| Symbol | Great |
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.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Great West on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Great West Goldman Sachs or generate 0.0% return on investment in Great West over 30 days. Great West is related to or competes with Prudential Jennison, Prudential Jennison, Prudential Jennison, Prudential Total, and Prudential Qma. The fund will, under normal circumstances, invest at least 80 percent of its net assets in equity securities of U.S 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 Goldman Sachs upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9611 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 4.41 | |||
| Value At Risk | (1.22) | |||
| Potential Upside | 1.26 |
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 | 0.039 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0374 |
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 Goldman Backtested Returns
We consider Great West very steady. Great West Goldman holds Efficiency (Sharpe) Ratio of 0.085, which attests that the entity had a 0.085% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Great West Goldman, which you can use to evaluate the volatility of the entity. Please check out Great West's Risk Adjusted Performance of 0.039, downside deviation of 0.9611, and Market Risk Adjusted Performance of 0.0474 to validate if the risk estimate we provide is consistent with the expected return of 0.0703%. The fund retains a Market Volatility (i.e., Beta) of 1.0, which attests to possible diversification benefits within a given portfolio. Great West returns are very sensitive to returns on the market. As the market goes up or down, Great West is expected to follow.
Auto-correlation | -0.33 |
Poor reverse predictability
Great West Goldman Sachs has poor reverse predictability. Overlapping area represents the amount of predictability between Great West time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 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 Great West Goldman 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 | -0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Great West Goldman 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 Goldman Sachs.
Regressed Prices |
| Timeline |
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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.