Great West Moderate Profile Fund Market Value
| MXGPX Fund | USD 11.65 0.05 0.43% |
| Symbol | Great-west |
Great-west Moderate '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 Great-west Moderate'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 Great-west Moderate.
| 09/27/2022 |
| 09/16/2024 |
If you would invest 0.00 in Great-west Moderate on September 27, 2022 and sell it all today you would earn a total of 0.00 from holding Great West Moderate Profile or generate 0.0% return on investment in Great-west Moderate over 720 days. Great-west Moderate is related to or competes with Great West, Great West, Great West, Great West, Great-west Lifetime, Great West, and Great West. The fund usually invests assets in underlying funds according to the following asset allocation ranges 0 percent to 30 p... More
Great-west Moderate 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 Great-west Moderate'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 Great West Moderate Profile upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5644 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 2.4 | |||
| Value At Risk | (0.87) | |||
| Potential Upside | 0.8921 |
Great-west Moderate Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great-west Moderate's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great-west Moderate's standard deviation. In reality, there are many statistical measures that can use Great-west Moderate historical prices to predict the future Great-west Moderate's volatility.| Risk Adjusted Performance | 0.101 | |||
| Jensen Alpha | 0.0097 | |||
| Total Risk Alpha | (0) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.112 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Great-west Moderate'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.
Great West Moderate Backtested Returns
At this stage we consider Great-west Mutual Fund to be very steady. Great West Moderate holds Efficiency (Sharpe) Ratio of 0.12, which attests that the entity had a 0.12% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Great West Moderate, which you can use to evaluate the volatility of the entity. Please check out Great-west Moderate's Risk Adjusted Performance of 0.101, market risk adjusted performance of 0.122, and Downside Deviation of 0.5644 to validate if the risk estimate we provide is consistent with the expected return of 0.0637%. The fund retains a Market Volatility (i.e., Beta) of 0.52, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Great-west Moderate's returns are expected to increase less than the market. However, during the bear market, the loss of holding Great-west Moderate is expected to be smaller as well.
Auto-correlation | 0.83 |
Very good predictability
Great West Moderate Profile has very good predictability. Overlapping area represents the amount of predictability between Great-west Moderate time series from 27th of September 2022 to 22nd of September 2023 and 22nd of September 2023 to 16th of September 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 Great West Moderate price movement. The serial correlation of 0.83 indicates that around 83.0% of current Great-west Moderate price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.83 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 0.31 |
Great West Moderate lagged returns against current returns
Autocorrelation, which is Great-west Moderate 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 Great-west Moderate's mutual fund expected returns. We can calculate the autocorrelation of Great-west Moderate returns to help us make a trade decision. For example, suppose you find that Great-west Moderate 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 |
Great-west Moderate 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 Great-west Moderate mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great-west Moderate mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Great-west Moderate mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Great-west Moderate Lagged Returns
When evaluating Great-west Moderate's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great-west Moderate mutual fund have on its future price. Great-west Moderate 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, Great-west Moderate autocorrelation shows the relationship between Great-west Moderate mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Great West Moderate Profile.
Regressed Prices |
| Timeline |
Also Currently Popular
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.Other Information on Investing in Great-west Mutual Fund
Great-west Moderate financial ratios help investors to determine whether Great-west 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 Great-west with respect to the benefits of owning Great-west Moderate security.
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