Grant Park Multi Fund Market Value
| GPACX Fund | USD 10.08 0.02 0.20% |
| Symbol | Grant |
Grant Park '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 Grant Park'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 Grant Park.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Grant Park on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Grant Park Multi or generate 0.0% return on investment in Grant Park over 30 days. Grant Park is related to or competes with Grant Park, Blackrock Alternative, Asg Managed, and Aqr Style. The fund seeks to achieve its investment objectives by allocating its assets among four independent, underlying strategi... More
Grant Park 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 Grant Park'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 Grant Park Multi upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.25) | |||
| Maximum Drawdown | 2.32 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.7759 |
Grant Park Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grant Park's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grant Park's standard deviation. In reality, there are many statistical measures that can use Grant Park historical prices to predict the future Grant Park's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.08) | |||
| Treynor Ratio | (0.54) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grant Park'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.
Grant Park Multi Backtested Returns
Grant Park Multi holds Efficiency (Sharpe) Ratio of -0.0335, which attests that the entity had a -0.0335% return per unit of standard deviation over the last 3 months. Grant Park Multi exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Grant Park's market risk adjusted performance of (0.53), and Risk Adjusted Performance of (0.02) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.0361, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Grant Park's returns are expected to increase less than the market. However, during the bear market, the loss of holding Grant Park is expected to be smaller as well.
Auto-correlation | 0.82 |
Very good predictability
Grant Park Multi has very good predictability. Overlapping area represents the amount of predictability between Grant Park time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th of December 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 Grant Park Multi price movement. The serial correlation of 0.82 indicates that around 82.0% of current Grant Park price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.82 | |
| Spearman Rank Test | 0.32 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Grant Park Multi lagged returns against current returns
Autocorrelation, which is Grant Park 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 Grant Park's mutual fund expected returns. We can calculate the autocorrelation of Grant Park returns to help us make a trade decision. For example, suppose you find that Grant Park 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 |
Grant Park 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 Grant Park mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grant Park mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grant Park mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Grant Park Lagged Returns
When evaluating Grant Park's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grant Park mutual fund have on its future price. Grant Park 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, Grant Park autocorrelation shows the relationship between Grant Park mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Grant Park Multi.
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 Grant Mutual Fund
Grant Park financial ratios help investors to determine whether Grant 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 Grant with respect to the benefits of owning Grant Park security.
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