Tiaa Cref Large Cap Value Fund Market Value
| TRLHX Fund | USD 21.34 0.17 0.80% |
| Symbol | Tiaa-cref |
Tiaa-cref 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 Tiaa-cref 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 Tiaa-cref Large-cap.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Tiaa-cref Large-cap on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Tiaa Cref Large Cap Value or generate 0.0% return on investment in Tiaa-cref Large-cap over 30 days. Tiaa-cref Large-cap is related to or competes with Loomis Sayles, Diamond Hill, Champlain Small, HUMANA, Barloworld, Morningstar Unconstrained, and High Yield. Under normal circumstances, the fund invests at least 80 percent of its assets in large-cap equity securities More
Tiaa-cref 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 Tiaa-cref 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 Tiaa Cref Large Cap Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6216 | |||
| Information Ratio | 0.0172 | |||
| Maximum Drawdown | 2.89 | |||
| Value At Risk | (1.03) | |||
| Potential Upside | 0.8946 |
Tiaa-cref Large-cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Tiaa-cref Large-cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Tiaa-cref Large-cap's standard deviation. In reality, there are many statistical measures that can use Tiaa-cref Large-cap historical prices to predict the future Tiaa-cref Large-cap's volatility.| Risk Adjusted Performance | 0.1126 | |||
| Jensen Alpha | 0.0191 | |||
| Total Risk Alpha | 0.016 | |||
| Sortino Ratio | 0.016 | |||
| Treynor Ratio | 0.1067 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Tiaa-cref 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.
Tiaa-cref Large-cap Backtested Returns
We consider Tiaa-cref Large-cap very steady. Tiaa-cref Large-cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.16, which indicates the fund had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Tiaa Cref Large Cap Value, which you can use to evaluate the volatility of the fund. Please validate Tiaa-cref Large-cap's Risk Adjusted Performance of 0.1126, coefficient of variation of 550.13, and Semi Deviation of 0.4861 to confirm if the risk estimate we provide is consistent with the expected return of 0.0952%. The entity has a beta of 0.89, which indicates possible diversification benefits within a given portfolio. Tiaa-cref Large-cap returns are very sensitive to returns on the market. As the market goes up or down, Tiaa-cref Large-cap is expected to follow.
Auto-correlation | -0.15 |
Insignificant reverse predictability
Tiaa Cref Large Cap Value has insignificant reverse predictability. Overlapping area represents the amount of predictability between Tiaa-cref Large-cap time series from 25th of March 2024 to 9th of April 2024 and 9th of April 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 Tiaa-cref Large-cap price movement. The serial correlation of -0.15 indicates that less than 15.0% of current Tiaa-cref Large-cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.15 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Tiaa-cref Large-cap lagged returns against current returns
Autocorrelation, which is Tiaa-cref 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 Tiaa-cref Large-cap's mutual fund expected returns. We can calculate the autocorrelation of Tiaa-cref Large-cap returns to help us make a trade decision. For example, suppose you find that Tiaa-cref 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 |
Tiaa-cref 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 Tiaa-cref Large-cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Tiaa-cref 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 Tiaa-cref Large-cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Tiaa-cref Large-cap Lagged Returns
When evaluating Tiaa-cref Large-cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Tiaa-cref Large-cap mutual fund have on its future price. Tiaa-cref 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, Tiaa-cref Large-cap autocorrelation shows the relationship between Tiaa-cref Large-cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Tiaa Cref Large Cap Value.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Tiaa-cref Large-cap Correlation, Tiaa-cref Large-cap Volatility and Tiaa-cref Large-cap Alpha and Beta module to complement your research on Tiaa-cref Large-cap. Note that the Tiaa-cref Large-cap information on this page should be used as a complementary analysis to other Tiaa-cref Large-cap'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 Bollinger Bands module to use Bollinger Bands indicator to analyze target price for a given investing horizon.
Tiaa-cref 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.