Great West Short Duration Fund Market Value
| MXSDX Fund | USD 10.29 0.03 0.29% |
| Symbol | Great-west |
Great-west Short '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 Short'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 Short.
| 12/20/2024 |
| 01/19/2025 |
If you would invest 0.00 in Great-west Short on December 20, 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 Short over 30 days. Great-west Short is related to or competes with Thrivent Natural, Invesco Energy, Blackrock All-cap, Fidelity Advisor, Hennessy, Jennison Natural, and Salient Mlp. The fund will, under normal circumstances, invest at least 80 percent of its net assets in investment grade bonds More
Great-west Short 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 Short'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 | 0.171 | |||
| Information Ratio | (0.23) | |||
| Maximum Drawdown | 0.5859 | |||
| Value At Risk | (0.1) | |||
| Potential Upside | 0.1949 |
Great-west Short Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Great-west Short's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Great-west Short's standard deviation. In reality, there are many statistical measures that can use Great-west Short historical prices to predict the future Great-west Short's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.15) | |||
| Treynor Ratio | 0.5867 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Great-west Short'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
At this stage we consider Great-west Mutual Fund to be very steady. Great West Short holds Efficiency (Sharpe) Ratio of 0.042, which attests that the entity had a 0.042% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Great West Short, which you can use to evaluate the volatility of the entity. Please check out Great-west Short's Risk Adjusted Performance of (0.03), market risk adjusted performance of 0.5967, and Downside Deviation of 0.171 to validate if the risk estimate we provide is consistent with the expected return of 0.0048%. The fund retains a Market Volatility (i.e., Beta) of -0.0094, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Great-west Short are expected to decrease at a much lower rate. During the bear market, Great-west Short is likely to outperform the market.
Auto-correlation | 0.29 |
Poor predictability
Great West Short Duration has poor predictability. Overlapping area represents the amount of predictability between Great-west Short time series from 20th of December 2024 to 4th of January 2025 and 4th of January 2025 to 19th 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 Great West Short price movement. The serial correlation of 0.29 indicates that nearly 29.0% of current Great-west Short price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.29 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Great West Short lagged returns against current returns
Autocorrelation, which is Great-west Short 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 Short's mutual fund expected returns. We can calculate the autocorrelation of Great-west Short returns to help us make a trade decision. For example, suppose you find that Great-west Short 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 Short 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 Short mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Great-west Short 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 Short mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Great-west Short Lagged Returns
When evaluating Great-west Short's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Great-west Short mutual fund have on its future price. Great-west Short 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 Short autocorrelation shows the relationship between Great-west Short 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 |
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Other Information on Investing in Great-west Mutual Fund
Great-west Short 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 Short security.
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