Gmo Benchmark Free Allocation Fund Market Value
| GBMSX Fund | USD 26.77 0.17 0.64% |
| Symbol | Gmo |
Gmo Benchmark-free '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 Benchmark-free'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 Benchmark-free.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Gmo Benchmark-free on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo Benchmark Free Allocation or generate 0.0% return on investment in Gmo Benchmark-free over 30 days. Gmo Benchmark-free is related to or competes with Gmo E, Gmo Trust, Gmo Treasury, Gmo Trust, Gmo Emerging, Gmo Emerging, and Gmo Emerging. The fund is structured as a fund of funds and gains its investment exposures primarily by investing in Implementation fu... More
Gmo Benchmark-free 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 Benchmark-free'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 Benchmark Free Allocation upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.38) | |||
| Maximum Drawdown | 2.17 | |||
| Value At Risk | (0.92) | |||
| Potential Upside | 0.6674 |
Gmo Benchmark-free Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Benchmark-free's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Benchmark-free's standard deviation. In reality, there are many statistical measures that can use Gmo Benchmark-free historical prices to predict the future Gmo Benchmark-free's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.13) | |||
| Treynor Ratio | (0.19) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Benchmark-free'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 Benchmark Free Backtested Returns
Gmo Benchmark Free holds Efficiency (Sharpe) Ratio of -0.0685, which attests that the entity had a -0.0685% return per unit of risk over the last 3 months. Gmo Benchmark Free exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Gmo Benchmark-free's Risk Adjusted Performance of (0.07), market risk adjusted performance of (0.18), and Standard Deviation of 0.4686 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.27, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Gmo Benchmark-free's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Benchmark-free is expected to be smaller as well.
Auto-correlation | -0.61 |
Very good reverse predictability
Gmo Benchmark Free Allocation has very good reverse predictability. Overlapping area represents the amount of predictability between Gmo Benchmark-free time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th of November 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 Benchmark Free price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current Gmo Benchmark-free price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.61 | |
| Spearman Rank Test | -0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Gmo Benchmark Free lagged returns against current returns
Autocorrelation, which is Gmo Benchmark-free 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 Benchmark-free's mutual fund expected returns. We can calculate the autocorrelation of Gmo Benchmark-free returns to help us make a trade decision. For example, suppose you find that Gmo Benchmark-free 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 Benchmark-free 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 Benchmark-free mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Benchmark-free 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 Benchmark-free mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Benchmark-free Lagged Returns
When evaluating Gmo Benchmark-free's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Benchmark-free mutual fund have on its future price. Gmo Benchmark-free 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 Benchmark-free autocorrelation shows the relationship between Gmo Benchmark-free mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Benchmark Free Allocation.
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 Gmo Mutual Fund
Gmo Benchmark-free financial ratios help investors to determine whether Gmo 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 Gmo with respect to the benefits of owning Gmo Benchmark-free security.
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