Gmo Usonian Japan Value Fund Market Value
| GMIIX Fund | USD 19.73 0.06 0.30% |
| Symbol | Gmo |
Gmo Usonian '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 Usonian'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 Usonian.
| 01/20/2023 |
| 01/09/2025 |
If you would invest 0.00 in Gmo Usonian on January 20, 2023 and sell it all today you would earn a total of 0.00 from holding Gmo Usonian Japan Value or generate 0.0% return on investment in Gmo Usonian over 720 days. Gmo Usonian is related to or competes with Gmo Core, Gmo Trust, Gmo Us, Gmo Trust, Gmo Emerging, Gmo Emerging, and Gmo Emerging. Under normal circumstances, the fund invests directly and indirectly at least 80 percent of its assets in securities of ... More
Gmo Usonian 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 Usonian'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 Usonian Japan Value upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 5.51 | |||
| Value At Risk | (1.58) | |||
| Potential Upside | 1.03 |
Gmo Usonian Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gmo Usonian's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gmo Usonian's standard deviation. In reality, there are many statistical measures that can use Gmo Usonian historical prices to predict the future Gmo Usonian's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.14) | |||
| Treynor Ratio | (0.59) |
Gmo Usonian Japan Backtested Returns
Gmo Usonian Japan holds Efficiency (Sharpe) Ratio of -0.0911, which attests that the entity had a -0.0911% return per unit of risk over the last 3 months. Gmo Usonian Japan exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Gmo Usonian's Market Risk Adjusted Performance of (0.58), risk adjusted performance of (0.1), and Standard Deviation of 0.8666 to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.2, which attests to not very significant fluctuations relative to the market. As returns on the market increase, Gmo Usonian's returns are expected to increase less than the market. However, during the bear market, the loss of holding Gmo Usonian is expected to be smaller as well.
Auto-correlation | 0.53 |
Modest predictability
Gmo Usonian Japan Value has modest predictability. Overlapping area represents the amount of predictability between Gmo Usonian time series from 20th of January 2023 to 15th of January 2024 and 15th of January 2024 to 9th of January 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 Usonian Japan price movement. The serial correlation of 0.53 indicates that about 53.0% of current Gmo Usonian price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.48 |
Gmo Usonian Japan lagged returns against current returns
Autocorrelation, which is Gmo Usonian 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 Usonian's mutual fund expected returns. We can calculate the autocorrelation of Gmo Usonian returns to help us make a trade decision. For example, suppose you find that Gmo Usonian 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 Usonian 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 Usonian mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gmo Usonian 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 Usonian mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Gmo Usonian Lagged Returns
When evaluating Gmo Usonian's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gmo Usonian mutual fund have on its future price. Gmo Usonian 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 Usonian autocorrelation shows the relationship between Gmo Usonian mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Gmo Usonian Japan Value.
Regressed Prices |
| Timeline |
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Other Information on Investing in Gmo Mutual Fund
Gmo Usonian 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 Usonian security.
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