Gmo Alternative Allocation Fund Market Value
| GAAVX Fund | USD 18.49 0.06 0.33% |
| Symbol | Gmo |
Gmo Alternative '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 Alternative'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 Alternative.
| 02/29/2024 |
| 05/29/2024 |
If you would invest 0.00 in Gmo Alternative on February 29, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo Alternative Allocation or generate 0.0% return on investment in Gmo Alternative over 90 days. Gmo Alternative is related to or competes with Gmo E, Gmo Us, Gmo Trust, Gmo Emerging, Gmo Emerging, Gmo Emerging, and Gmo Global. The fund invests directly or indirectly in a combination of GMO investment strategies More
Gmo Alternative 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 Alternative'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 Alternative Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.26 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 1.04 | |||
| Value At Risk | (0.38) | |||
| Potential Upside | 0.44 |
Gmo Alternative Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Alternative's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Alternative's standard deviation. In reality, there are many statistical measures that can use Gmo Alternative historical prices to predict the future Gmo Alternative's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | (0.13) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Alternative'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 Alternative Allo Backtested Returns
We consider Gmo Alternative very steady. Gmo Alternative Allo holds Efficiency (Sharpe) Ratio of 0.0288, which attests that the entity had a 0.0288% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Gmo Alternative Allo, which you can use to evaluate the volatility of the entity. Please check out Gmo Alternative's Risk Adjusted Performance of (0.01), downside deviation of 0.26, and Market Risk Adjusted Performance of (0.12) to validate if the risk estimate we provide is consistent with the expected return of 0.0073%. The fund retains a Market Volatility (i.e., Beta) of 0.0661, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Gmo Alternative's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Alternative is expected to be smaller as well.
Auto-correlation | -0.16 |
Insignificant reverse predictability
Gmo Alternative Allocation has insignificant reverse predictability. Overlapping area represents the amount of predictability between Gmo Alternative time series from 29th of February 2024 to 14th of April 2024 and 14th of April 2024 to 29th of May 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 Alternative Allo price movement. The serial correlation of -0.16 indicates that over 16.0% of current Gmo Alternative price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.16 | |
| Spearman Rank Test | -0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Gmo Alternative Allo lagged returns against current returns
Autocorrelation, which is Gmo Alternative 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 Alternative's mutual fund expected returns. We can calculate the autocorrelation of Gmo Alternative returns to help us make a trade decision. For example, suppose you find that Gmo Alternative 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 Alternative 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 Alternative mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Alternative 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 Alternative mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Alternative Lagged Returns
When evaluating Gmo Alternative's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Alternative mutual fund have on its future price. Gmo Alternative 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 Alternative autocorrelation shows the relationship between Gmo Alternative mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Alternative Allocation.
Regressed Prices |
| Timeline |
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Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Gmo Alternative Correlation, Gmo Alternative Volatility and Gmo Alternative Alpha and Beta module to complement your research on Gmo Alternative. You can also try the Stock Tickers module to use high-impact, comprehensive, and customizable stock tickers that can be easily integrated to any websites.
Gmo Alternative 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.