Gmo Global Equity Fund Market Value
| GMADX Fund | USD 29.48 0.35 1.20% |
| Symbol | Gmo |
Gmo Global '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 Global'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 Global.
| 12/18/2024 |
| 03/18/2025 |
If you would invest 0.00 in Gmo Global on December 18, 2024 and sell it all today you would earn a total of 0.00 from holding Gmo Global Equity or generate 0.0% return on investment in Gmo Global over 90 days. Gmo Global is related to or competes with National Tax, Nuveen Strategic, Us Government, Us Government, Federated Government, Pace Municipal, and Vanguard Intermediate-ter. The fund is a fund of funds and invests primarily in equities traded in U.S More
Gmo Global 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 Global'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 Global Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.4 | |||
| Information Ratio | 0.0925 | |||
| Maximum Drawdown | 11.02 | |||
| Value At Risk | (1.63) | |||
| Potential Upside | 1.26 |
Gmo Global Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Global's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Global's standard deviation. In reality, there are many statistical measures that can use Gmo Global historical prices to predict the future Gmo Global's volatility.| Risk Adjusted Performance | 0.0274 | |||
| Jensen Alpha | 0.0827 | |||
| Total Risk Alpha | 0.1541 | |||
| Sortino Ratio | 0.0823 | |||
| Treynor Ratio | 0.0387 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gmo Global'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 Global Equity Backtested Returns
At this stage we consider Gmo Mutual Fund to be very steady. Gmo Global Equity holds Efficiency (Sharpe) Ratio of 0.0744, which attests that the entity had a 0.0744 % return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Gmo Global Equity, which you can use to evaluate the volatility of the entity. Please check out Gmo Global's Market Risk Adjusted Performance of 0.0487, downside deviation of 1.4, and Risk Adjusted Performance of 0.0274 to validate if the risk estimate we provide is consistent with the expected return of 0.0937%. The fund retains a Market Volatility (i.e., Beta) of 0.64, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Gmo Global's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Global is expected to be smaller as well.
Auto-correlation | -0.33 |
Poor reverse predictability
Gmo Global Equity has poor reverse predictability. Overlapping area represents the amount of predictability between Gmo Global time series from 18th of December 2024 to 1st of February 2025 and 1st of February 2025 to 18th of March 2025. 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 Global Equity price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current Gmo Global price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.33 | |
| Spearman Rank Test | 0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Gmo Global Equity lagged returns against current returns
Autocorrelation, which is Gmo Global 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 Global's mutual fund expected returns. We can calculate the autocorrelation of Gmo Global returns to help us make a trade decision. For example, suppose you find that Gmo Global 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 Global 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 Global mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Global 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 Global mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Global Lagged Returns
When evaluating Gmo Global's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Global mutual fund have on its future price. Gmo Global 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 Global autocorrelation shows the relationship between Gmo Global mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Global Equity.
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 Global 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 Global security.
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