Gmo High Yield Fund Market Value
GHVIX Fund | USD 17.98 0.02 0.11% |
Symbol | Gmo |
Gmo High '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 Gmo High'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 Gmo High.
01/28/2024 |
| 03/28/2024 |
If you would invest 0.00 in Gmo High on January 28, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo High Yield or generate 0.0% return on investment in Gmo High over 60 days. Gmo High is related to or competes with USCF Gold, Gmo E, Gmo Us, Gmo Global, Gmo Quality, Gmo-usonian Japan, and Gmo-usonian Japan. Under normal circumstances, the fund invests directly and indirectly at least 80 percent of its assets in high yield bon... More
Gmo High 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 Gmo High'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 Gmo High Yield upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 0.3284 | |||
Information Ratio | (0.43) | |||
Maximum Drawdown | 1.24 | |||
Value At Risk | (0.45) | |||
Potential Upside | 0.3399 |
Gmo High Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo High's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo High's standard deviation. In reality, there are many statistical measures that can use Gmo High historical prices to predict the future Gmo High's volatility.Risk Adjusted Performance | 0.043 | |||
Jensen Alpha | 0.0164 | |||
Total Risk Alpha | (0.04) | |||
Sortino Ratio | (0.33) | |||
Treynor Ratio | (1.30) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo High'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.
Gmo High Yield Backtested Returns
We consider Gmo High very steady. Gmo High Yield holds Efficiency (Sharpe) Ratio of 0.0865, which attests that the entity had a 0.0865% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Gmo High Yield, which you can use to evaluate the volatility of the entity. Please check out Gmo High's Market Risk Adjusted Performance of (1.29), risk adjusted performance of 0.043, and Downside Deviation of 0.3284 to validate if the risk estimate we provide is consistent with the expected return of 0.0224%. The fund retains a Market Volatility (i.e., Beta) of -0.0115, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Gmo High are expected to decrease at a much lower rate. During the bear market, Gmo High is likely to outperform the market.
Auto-correlation | 0.03 |
Virtually no predictability
Gmo High Yield has virtually no predictability. Overlapping area represents the amount of predictability between Gmo High time series from 28th of January 2024 to 27th of February 2024 and 27th of February 2024 to 28th of March 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 Gmo High Yield price movement. The serial correlation of 0.03 indicates that only 3.0% of current Gmo High price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.03 | |
Spearman Rank Test | 0.0 | |
Residual Average | 0.0 | |
Price Variance | 0.0 |
Gmo High Yield lagged returns against current returns
Autocorrelation, which is Gmo High 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 Gmo High's mutual fund expected returns. We can calculate the autocorrelation of Gmo High returns to help us make a trade decision. For example, suppose you find that Gmo High 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 |
Gmo High 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 Gmo High mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo High mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Gmo High mutual fund over time.
Current vs Lagged Prices |
Timeline |
Gmo High Lagged Returns
When evaluating Gmo High's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo High mutual fund have on its future price. Gmo High 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, Gmo High autocorrelation shows the relationship between Gmo High mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo High Yield.
Regressed Prices |
Timeline |
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Complementary Tools for Gmo Mutual Fund analysis
When running Gmo High's price analysis, check to measure Gmo High's market volatility, profitability, liquidity, solvency, efficiency, growth potential, financial leverage, and other vital indicators. We have many different tools that can be utilized to determine how healthy Gmo High is operating at the current time. Most of Gmo High's value examination focuses on studying past and present price action to predict the probability of Gmo High's future price movements. You can analyze the entity against its peers and the financial market as a whole to determine factors that move Gmo High's price. Additionally, you may evaluate how the addition of Gmo High to your portfolios can decrease your overall portfolio volatility.
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Gmo High 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.