Gmo Equity Allocation Fund Market Value
| GMCQX Fund | USD 14.70 0.10 0.68% |
| Symbol | GMO |
Gmo Us '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 Us' 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 Us.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Gmo Us on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Gmo Equity Allocation or generate 0.0% return on investment in Gmo Us over 510 days. Gmo Us is related to or competes with Vanguard Global, Barings Global, Nuveen Global, Commonwealth Global, Artisan Global, Ab Global, and Dodge Cox. Under normal circumstances, the fund invests directly and indirectly at least 80 percent of its assets in equities tied ... More
Gmo Us 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 Us' 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 Equity Allocation upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9085 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.57 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.42 |
Gmo Us Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Us' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Us' standard deviation. In reality, there are many statistical measures that can use Gmo Us historical prices to predict the future Gmo Us' volatility.| Risk Adjusted Performance | 0.0961 | |||
| Jensen Alpha | 0.0984 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (9.34) |
Gmo Equity Allocation Backtested Returns
At this stage we consider GMO Mutual Fund to be very steady. Gmo Equity Allocation 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 Gmo Equity Allocation, which you can use to evaluate the volatility of the entity. Please check out Gmo Us' Market Risk Adjusted Performance of (9.33), downside deviation of 0.9085, and Risk Adjusted Performance of 0.0961 to validate if the risk estimate we provide is consistent with the expected return of 0.1%. The fund retains a Market Volatility (i.e., Beta) of -0.0104, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Gmo Us are expected to decrease at a much lower rate. During the bear market, Gmo Us is likely to outperform the market.
Auto-correlation | 0.16 |
Very weak predictability
Gmo Equity Allocation has very weak predictability. Overlapping area represents the amount of predictability between Gmo Us time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 Equity Allocation price movement. The serial correlation of 0.16 indicates that over 16.0% of current Gmo Us price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.16 | |
| Spearman Rank Test | 0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.17 |
Gmo Equity Allocation lagged returns against current returns
Autocorrelation, which is Gmo Us 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 Us' mutual fund expected returns. We can calculate the autocorrelation of Gmo Us returns to help us make a trade decision. For example, suppose you find that Gmo Us 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 Us 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 Us mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Us 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 Us mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Us Lagged Returns
When evaluating Gmo Us' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Us mutual fund have on its future price. Gmo Us 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 Us autocorrelation shows the relationship between Gmo Us mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Equity 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 Us 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 Us security.
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