Gmo Small Cap Fund Market Value
| GCAVX Fund | USD 21.37 0.10 0.47% |
| Symbol | Gmo |
Gmo Small '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 Small'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 Small.
| 12/21/2024 |
| 01/20/2025 |
If you would invest 0.00 in Gmo Small on December 21, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo Small Cap or generate 0.0% return on investment in Gmo Small over 30 days. Gmo Small is related to or competes with Leader Short, Angel Oak, Rbc Short, Transamerica Short, Rbc Short, and Virtus Multi. The adviser seeks to achieve the funds investment objective by investing primarily in equities of U.S More
Gmo Small 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 Small'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 Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.19 | |||
| Information Ratio | 0.0039 | |||
| Maximum Drawdown | 10.87 | |||
| Value At Risk | (1.50) | |||
| Potential Upside | 1.92 |
Gmo Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Small's standard deviation. In reality, there are many statistical measures that can use Gmo Small historical prices to predict the future Gmo Small's volatility.| Risk Adjusted Performance | 0.0252 | |||
| Jensen Alpha | 0.0148 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0045 | |||
| Treynor Ratio | 0.0482 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Small'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 Small Cap Backtested Returns
At this stage we consider Gmo Mutual Fund to be very steady. Gmo Small Cap holds Efficiency (Sharpe) Ratio of 0.0402, which attests that the entity had a 0.0402 % return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Gmo Small Cap, which you can use to evaluate the volatility of the entity. Please check out Gmo Small's Market Risk Adjusted Performance of 0.0582, downside deviation of 1.19, and Risk Adjusted Performance of 0.0252 to validate if the risk estimate we provide is consistent with the expected return of 0.0562%. 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, Gmo Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Small is expected to be smaller as well.
Auto-correlation | -0.19 |
Insignificant reverse predictability
Gmo Small Cap has insignificant reverse predictability. Overlapping area represents the amount of predictability between Gmo Small time series from 21st of December 2024 to 5th of January 2025 and 5th of January 2025 to 20th of January 2025. 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 Small Cap price movement. The serial correlation of -0.19 indicates that over 19.0% of current Gmo Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.19 | |
| Spearman Rank Test | 0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Gmo Small Cap lagged returns against current returns
Autocorrelation, which is Gmo Small 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 Small's mutual fund expected returns. We can calculate the autocorrelation of Gmo Small returns to help us make a trade decision. For example, suppose you find that Gmo Small 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 Small 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 Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Small 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 Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Small Lagged Returns
When evaluating Gmo Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Small mutual fund have on its future price. Gmo Small 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 Small autocorrelation shows the relationship between Gmo Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Small Cap.
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 Small 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 Small security.
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