Great West Mfs International Fund Market Value
| MXIVX Fund | USD 12.80 0.04 0.31% |
| Symbol | Great-west |
Great-west Mfs '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 Great-west Mfs' 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 Great-west Mfs.
| 10/31/2024 |
| 11/30/2024 |
If you would invest 0.00 in Great-west Mfs on October 31, 2024 and sell it all today you would earn a total of 0.00 from holding Great West Mfs International or generate 0.0% return on investment in Great-west Mfs over 30 days. Great-west Mfs is related to or competes with Asg Managed, Aqr Managed, American Funds, Ab Bond, and Arrow Managed. The fund will, under normal circumstances, invest at least 80 percent of its net assets in equity securities More
Great-west Mfs 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 Great-west Mfs' 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 Great West Mfs International upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.27) | |||
| Maximum Drawdown | 3.9 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.14 |
Great-west Mfs Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great-west Mfs' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great-west Mfs' standard deviation. In reality, there are many statistical measures that can use Great-west Mfs historical prices to predict the future Great-west Mfs' volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.09) | |||
| Total Risk Alpha | (0.22) | |||
| Treynor Ratio | 6.19 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Great-west Mfs' 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.
Great West Mfs Backtested Returns
Great West Mfs holds Efficiency (Sharpe) Ratio of -0.0694, which attests that the entity had a -0.0694% return per unit of risk over the last 3 months. Great West Mfs exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Great-west Mfs' Standard Deviation of 0.801, market risk adjusted performance of 6.2, and Risk Adjusted Performance of (0.08) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of -0.0145, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Great-west Mfs are expected to decrease at a much lower rate. During the bear market, Great-west Mfs is likely to outperform the market.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Great West Mfs International has insignificant reverse predictability. Overlapping area represents the amount of predictability between Great-west Mfs time series from 31st of October 2024 to 15th of November 2024 and 15th of November 2024 to 30th 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 Great West Mfs price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Great-west Mfs price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Great West Mfs lagged returns against current returns
Autocorrelation, which is Great-west Mfs 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 Great-west Mfs' mutual fund expected returns. We can calculate the autocorrelation of Great-west Mfs returns to help us make a trade decision. For example, suppose you find that Great-west Mfs 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 |
Great-west Mfs 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 Great-west Mfs mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great-west Mfs mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Great-west Mfs mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Great-west Mfs Lagged Returns
When evaluating Great-west Mfs' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great-west Mfs mutual fund have on its future price. Great-west Mfs 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, Great-west Mfs autocorrelation shows the relationship between Great-west Mfs mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Great West Mfs International.
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 Great-west Mutual Fund
Great-west Mfs financial ratios help investors to determine whether Great-west 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 Great-west with respect to the benefits of owning Great-west Mfs security.
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