Longshort Portfolio Longshort Fund Market Value
| GTAPX Fund | USD 14.61 0.01 0.07% |
| Symbol | Long/short |
Long/short Portfolio '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 Long/short Portfolio'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 Long/short Portfolio.
| 09/04/2023 |
| 11/27/2024 |
If you would invest 0.00 in Long/short Portfolio on September 4, 2023 and sell it all today you would earn a total of 0.00 from holding Longshort Portfolio Longshort or generate 0.0% return on investment in Long/short Portfolio over 450 days. Long/short Portfolio is related to or competes with Neuberger Berman, Neuberger Berman, and Pimco Rae. The fund normally invests at least 80 percent of the value of its net assets in long and short positions with respect to... More
Long/short Portfolio 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 Long/short Portfolio'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 Longshort Portfolio Longshort upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3875 | |||
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 2.45 | |||
| Value At Risk | (0.50) | |||
| Potential Upside | 0.7138 |
Long/short Portfolio Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Long/short Portfolio's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Long/short Portfolio's standard deviation. In reality, there are many statistical measures that can use Long/short Portfolio historical prices to predict the future Long/short Portfolio's volatility.| Risk Adjusted Performance | 0.1038 | |||
| Jensen Alpha | 0.0482 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.18) | |||
| Treynor Ratio | 1.55 |
Long/short Portfolio Backtested Returns
At this stage we consider Long/short Mutual Fund to be very steady. Long/short Portfolio has Sharpe Ratio of 0.13, which conveys that the entity had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Long/short Portfolio, which you can use to evaluate the volatility of the fund. Please verify Long/short Portfolio's Downside Deviation of 0.3875, risk adjusted performance of 0.1038, and Mean Deviation of 0.3023 to check out if the risk estimate we provide is consistent with the expected return of 0.0564%. The fund secures a Beta (Market Risk) of 0.0337, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Long/short Portfolio's returns are expected to increase less than the market. However, during the bear market, the loss of holding Long/short Portfolio is expected to be smaller as well.
Auto-correlation | 0.64 |
Good predictability
Longshort Portfolio Longshort has good predictability. Overlapping area represents the amount of predictability between Long/short Portfolio time series from 4th of September 2023 to 16th of April 2024 and 16th of April 2024 to 27th 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 Long/short Portfolio price movement. The serial correlation of 0.64 indicates that roughly 64.0% of current Long/short Portfolio price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.64 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Long/short Portfolio lagged returns against current returns
Autocorrelation, which is Long/short Portfolio 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 Long/short Portfolio's mutual fund expected returns. We can calculate the autocorrelation of Long/short Portfolio returns to help us make a trade decision. For example, suppose you find that Long/short Portfolio 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 |
Long/short Portfolio 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 Long/short Portfolio mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Long/short Portfolio mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Long/short Portfolio mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Long/short Portfolio Lagged Returns
When evaluating Long/short Portfolio's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Long/short Portfolio mutual fund have on its future price. Long/short Portfolio 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, Long/short Portfolio autocorrelation shows the relationship between Long/short Portfolio mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Longshort Portfolio Longshort.
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 Long/short Mutual Fund
Long/short Portfolio financial ratios help investors to determine whether Long/short 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 Long/short with respect to the benefits of owning Long/short Portfolio security.
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