Gmo Quality Fund Market Value
| GQESX Fund | USD 34.66 0.22 0.64% |
| Symbol | Gmo |
Gmo Quality '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 Quality'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 Quality.
| 05/30/2024 |
| 11/26/2024 |
If you would invest 0.00 in Gmo Quality on May 30, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo Quality Fund or generate 0.0% return on investment in Gmo Quality over 180 days. Gmo Quality is related to or competes with Gmo E, Gmo Trust, Gmo Treasury, Gmo Trust, Gmo Emerging, Gmo Emerging, and Gmo Emerging. The adviser seeks to achieve the funds investment objective by investing the funds assets primarily in equities of compa... More
Gmo Quality 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 Quality'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 Quality Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7553 | |||
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 3.3 | |||
| Value At Risk | (1.37) | |||
| Potential Upside | 1.16 |
Gmo Quality Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Quality's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Quality's standard deviation. In reality, there are many statistical measures that can use Gmo Quality historical prices to predict the future Gmo Quality's volatility.| Risk Adjusted Performance | 0.0328 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | 0.0299 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Quality'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 Quality Fund Backtested Returns
At this stage we consider Gmo Mutual Fund to be very steady. Gmo Quality Fund holds Efficiency (Sharpe) Ratio of 0.0542, which attests that the entity had a 0.0542% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Gmo Quality Fund, which you can use to evaluate the volatility of the entity. Please check out Gmo Quality's Downside Deviation of 0.7553, market risk adjusted performance of 0.0399, and Risk Adjusted Performance of 0.0328 to validate if the risk estimate we provide is consistent with the expected return of 0.0381%. The fund retains a Market Volatility (i.e., Beta) of 0.69, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Gmo Quality's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Quality is expected to be smaller as well.
Auto-correlation | 0.54 |
Modest predictability
Gmo Quality Fund has modest predictability. Overlapping area represents the amount of predictability between Gmo Quality time series from 30th of May 2024 to 28th of August 2024 and 28th of August 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 Quality Fund price movement. The serial correlation of 0.54 indicates that about 54.0% of current Gmo Quality price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.54 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Gmo Quality Fund lagged returns against current returns
Autocorrelation, which is Gmo Quality 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 Quality's mutual fund expected returns. We can calculate the autocorrelation of Gmo Quality returns to help us make a trade decision. For example, suppose you find that Gmo Quality 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 Quality 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 Quality mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Quality 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 Quality mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Quality Lagged Returns
When evaluating Gmo Quality's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Quality mutual fund have on its future price. Gmo Quality 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 Quality autocorrelation shows the relationship between Gmo Quality mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Quality Fund.
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 Quality 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 Quality security.
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