Gmo Implementation Fund Market Value
| GIMFX Fund | USD 13.13 0.04 0.31% |
| Symbol | Gmo |
Gmo Implementation '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 Implementation'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 Implementation.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Gmo Implementation on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo Implementation Fund or generate 0.0% return on investment in Gmo Implementation over 30 days. Gmo Implementation is related to or competes with Gmo Core, Gmo Us, Gmo Trust, Gmo Emerging, Gmo Emerging, Gmo Emerging, and Gmo Global. Depending on GMOs outlook, the fund may have exposure to any asset class and at times may be substantially invested in a... More
Gmo Implementation 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 Implementation'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 Implementation Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5028 | |||
| Information Ratio | (0.12) | |||
| Maximum Drawdown | 1.83 | |||
| Value At Risk | (0.75) | |||
| Potential Upside | 0.6173 |
Gmo Implementation Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Implementation's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Implementation's standard deviation. In reality, there are many statistical measures that can use Gmo Implementation historical prices to predict the future Gmo Implementation's volatility.| Risk Adjusted Performance | 0.0618 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.09) | |||
| Treynor Ratio | 0.0665 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Implementation'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 Implementation Backtested Returns
We consider Gmo Implementation very steady. Gmo Implementation holds Efficiency (Sharpe) Ratio of 0.11, which attests that the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Gmo Implementation, which you can use to evaluate the volatility of the entity. Please check out Gmo Implementation's Market Risk Adjusted Performance of 0.0765, downside deviation of 0.5028, and Risk Adjusted Performance of 0.0618 to validate if the risk estimate we provide is consistent with the expected return of 0.0444%. The fund retains a Market Volatility (i.e., Beta) of 0.5, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Gmo Implementation's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Implementation is expected to be smaller as well.
Auto-correlation | -0.26 |
Weak reverse predictability
Gmo Implementation Fund has weak reverse predictability. Overlapping area represents the amount of predictability between Gmo Implementation 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 Gmo Implementation price movement. The serial correlation of -0.26 indicates that nearly 26.0% of current Gmo Implementation price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.26 | |
| Spearman Rank Test | -0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Gmo Implementation lagged returns against current returns
Autocorrelation, which is Gmo Implementation 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 Implementation's mutual fund expected returns. We can calculate the autocorrelation of Gmo Implementation returns to help us make a trade decision. For example, suppose you find that Gmo Implementation 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 Implementation 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 Implementation mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Implementation 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 Implementation mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Implementation Lagged Returns
When evaluating Gmo Implementation's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Implementation mutual fund have on its future price. Gmo Implementation 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 Implementation autocorrelation shows the relationship between Gmo Implementation mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Implementation Fund.
Regressed Prices |
| Timeline |
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Gmo Implementation 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.