Transamerica Large Backtesting

TWQAX -- USA Fund  

USD 11.20  0.03  0.27%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Transamerica Large Cap Value Cl and determine expected loss or profit from investing in Transamerica Large over given investment horizon. Also please take a look at Transamerica Large Hype Analysis, Transamerica Large Correlation, Portfolio Optimization, Transamerica Large Volatility as well as analyze Transamerica Large Alpha and Beta and Transamerica Large Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Transamerica Large 'What if' Analysis

August 18, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 16, 2019
0.00
If you would invest  0.00  in Transamerica Large on August 18, 2019 and sell it all today you would earn a total of 0.00 from holding Transamerica Large Cap Value Cl or generate 0.0% return on investment in Transamerica Large over 90 days. Transamerica Large is related to or competes with Vanguard Index, American Mutual, American Mutual, MFS Value, MFS Series, MFS Value, and Vanguard Windsor. Under normal circumstances, the fund will invest at least 80 percent of its net assets in equity securities of large cap...

Transamerica Large Upside/Downside Indicators

Downside Deviation1.31
Information Ratio0.003
Maximum Drawdown5.55
Value At Risk(2.09)
Potential Upside1.61

Transamerica Large Market Premium Indicators

Risk Adjusted Performance0.0997
Jensen Alpha(0.023511)
Total Risk Alpha(0.06)
Sortino Ratio0.0025
Treynor Ratio0.1105

Transamerica Large Cap Backtested Returns

We consider Transamerica Large somewhat reliable. Transamerica Large Cap owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0937 which indicates the organization had 0.0937% of return per unit of risk over the last 3 months. Our philosophy towards measuring volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Transamerica Large Cap Value Cl which you can use to evaluate future volatility of the fund. Please validate Transamerica Large Risk Adjusted Performance of 0.0997, Semi Deviation of 1.04 and Coefficient Of Variation of 762.43 to confirm if risk estimate we provide are consistent with the epected return of 0.1007%. The entity has beta of 1.2057 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Transamerica Large will likely underperform. Although it is extremely important to respect Transamerica Large Cap current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting Transamerica Large Cap technical indicators you can presently evaluate if the expected return of 0.1007% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.70 
correlation synergy

Good predictability

Transamerica Large Cap Value Cl has good predictability. Overlapping area represents the amount of predictability between Transamerica Large time series from August 18, 2019 to October 2, 2019 and October 2, 2019 to November 16, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Transamerica Large Cap price movement. The serial correlation of 0.7 indicates that around 70.0% of current Transamerica Large price fluctuation can be explain by its past prices.
Correlation Coefficient0.7
Spearman Rank Test0.52
Residual Average0.0
Price Variance0.07

Transamerica Large Cap lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Transamerica Large regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Transamerica Large Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at Transamerica Large Hype Analysis, Transamerica Large Correlation, Portfolio Optimization, Transamerica Large Volatility as well as analyze Transamerica Large Alpha and Beta and Transamerica Large Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
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