Great West Short Duration Fund Market Value
| MXSDX Fund | USD 10.73 0.01 0.09% |
| Symbol | Great |
Great West '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'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 Great West.
| 11/13/2024 |
| 12/13/2024 |
If you would invest 0.00 in Great West on November 13, 2024 and sell it all today you would earn a total of 0.00 from holding Great West Short Duration or generate 0.0% return on investment in Great West over 30 days. Great West is related to or competes with T Rowe, Qs Large, T Rowe, Rational Strategic, Morningstar Unconstrained, Fm Investments, and Old Westbury. The fund will, under normal circumstances, invest at least 80 percent of its net assets in investment grade bonds More
Great West 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'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 Great West Short Duration upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.1528 | |||
| Information Ratio | (1.14) | |||
| Maximum Drawdown | 0.5599 | |||
| Value At Risk | (0.09) | |||
| Potential Upside | 0.0935 |
Great West Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great West's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great West's standard deviation. In reality, there are many statistical measures that can use Great West historical prices to predict the future Great West's volatility.| Risk Adjusted Performance | (0.06) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.73) | |||
| Treynor Ratio | 0.8434 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Great West'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.
Great West Short Backtested Returns
Great West Short holds Efficiency (Sharpe) Ratio of -0.046, which attests that the entity had a -0.046% return per unit of risk over the last 3 months. Great West Short exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Great West's Market Risk Adjusted Performance of 0.8534, downside deviation of 0.1528, and Risk Adjusted Performance of (0.06) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of -0.0118, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Great West are expected to decrease at a much lower rate. During the bear market, Great West is likely to outperform the market.
Auto-correlation | -0.32 |
Poor reverse predictability
Great West Short Duration has poor reverse predictability. Overlapping area represents the amount of predictability between Great West time series from 13th of November 2024 to 28th of November 2024 and 28th of November 2024 to 13th of December 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 Short price movement. The serial correlation of -0.32 indicates that nearly 32.0% of current Great West price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.32 | |
| Spearman Rank Test | -0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Great West Short lagged returns against current returns
Autocorrelation, which is Great West 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's mutual fund expected returns. We can calculate the autocorrelation of Great West returns to help us make a trade decision. For example, suppose you find that Great West 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 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 mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great West 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 mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Great West Lagged Returns
When evaluating Great West's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great West mutual fund have on its future price. Great West 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 autocorrelation shows the relationship between Great West mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Great West Short Duration.
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 Mutual Fund
Great West financial ratios help investors to determine whether Great 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 with respect to the benefits of owning Great West security.
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