Transamerica Asset Allocation Fund Market Value
| IMOAX Fund | USD 11.63 0.02 0.17% |
| Symbol | Transamerica |
Transamerica Asset '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 Transamerica Asset'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 Transamerica Asset.
| 07/21/2023 |
| 06/15/2024 |
If you would invest 0.00 in Transamerica Asset on July 21, 2023 and sell it all today you would earn a total of 0.00 from holding Transamerica Asset Allocation or generate 0.0% return on investment in Transamerica Asset over 330 days. Transamerica Asset is related to or competes with Transamerica Emerging, Transamerica Emerging, Transamerica Emerging, Transamerica Capital, Transamerica Growth, Transamerica Large, and Transamerica Large. The fund normally invests its assets in a broad mix of underlying funds More
Transamerica Asset 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 Transamerica Asset'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 Transamerica Asset Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5436 | |||
| Information Ratio | 0.0607 | |||
| Maximum Drawdown | 1.87 | |||
| Value At Risk | (0.87) | |||
| Potential Upside | 0.7792 |
Transamerica Asset Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transamerica Asset's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transamerica Asset's standard deviation. In reality, there are many statistical measures that can use Transamerica Asset historical prices to predict the future Transamerica Asset's volatility.| Risk Adjusted Performance | 0.0313 | |||
| Jensen Alpha | 0.0239 | |||
| Total Risk Alpha | 0.0253 | |||
| Sortino Ratio | 0.0523 | |||
| Treynor Ratio | 0.0253 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Transamerica Asset'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.
Transamerica Asset Backtested Returns
We consider Transamerica Asset very steady. Transamerica Asset owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0837, which indicates the fund had a 0.0837% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Transamerica Asset Allocation, which you can use to evaluate the volatility of the fund. Please validate Transamerica Asset's Coefficient Of Variation of 1797.73, risk adjusted performance of 0.0313, and Semi Deviation of 0.4337 to confirm if the risk estimate we provide is consistent with the expected return of 0.0392%. The entity has a beta of 0.63, which indicates possible diversification benefits within a given portfolio. As returns on the market increase, Transamerica Asset's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transamerica Asset is expected to be smaller as well.
Auto-correlation | 0.07 |
Virtually no predictability
Transamerica Asset Allocation has virtually no predictability. Overlapping area represents the amount of predictability between Transamerica Asset time series from 21st of July 2023 to 2nd of January 2024 and 2nd of January 2024 to 15th of June 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 Transamerica Asset price movement. The serial correlation of 0.07 indicates that barely 7.0% of current Transamerica Asset price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | 0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Transamerica Asset lagged returns against current returns
Autocorrelation, which is Transamerica Asset 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 Transamerica Asset's mutual fund expected returns. We can calculate the autocorrelation of Transamerica Asset returns to help us make a trade decision. For example, suppose you find that Transamerica Asset 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 |
Transamerica Asset 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 Transamerica Asset mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transamerica Asset mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transamerica Asset mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Transamerica Asset Lagged Returns
When evaluating Transamerica Asset's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transamerica Asset mutual fund have on its future price. Transamerica Asset 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, Transamerica Asset autocorrelation shows the relationship between Transamerica Asset mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Transamerica Asset Allocation.
Regressed Prices |
| Timeline |
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Other Information on Investing in Transamerica Mutual Fund
Transamerica Asset financial ratios help investors to determine whether Transamerica Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Transamerica with respect to the benefits of owning Transamerica Asset security.
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