Grant Park Multi Fund Market Value
| GPANX Fund | USD 10.75 0.04 0.37% |
| Symbol | Grant |
Grant Park '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 Grant Park'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 Grant Park.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Grant Park on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Grant Park Multi or generate 0.0% return on investment in Grant Park over 30 days. Grant Park is related to or competes with Goldman Sachs, Materials Portfolio, Qs International, and Asg Managed. The fund seeks to achieve its investment objectives by allocating its assets among four independent, underlying strategi... More
Grant Park 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 Grant Park'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 Grant Park Multi upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4407 | |||
| Information Ratio | (0.0009) | |||
| Maximum Drawdown | 1.36 | |||
| Value At Risk | (0.58) | |||
| Potential Upside | 0.5639 |
Grant Park Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Grant Park's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Grant Park's standard deviation. In reality, there are many statistical measures that can use Grant Park historical prices to predict the future Grant Park's volatility.| Risk Adjusted Performance | 0.1204 | |||
| Jensen Alpha | 0.0374 | |||
| Total Risk Alpha | 0.0274 | |||
| Sortino Ratio | (0.0007) | |||
| Treynor Ratio | 0.1639 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Grant Park'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.
Grant Park Multi Backtested Returns
We consider Grant Park very steady. Grant Park Multi holds Efficiency (Sharpe) Ratio of 0.24, which attests that the entity had a 0.24% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Grant Park Multi, which you can use to evaluate the volatility of the entity. Please check out Grant Park's market risk adjusted performance of 0.1739, and Risk Adjusted Performance of 0.1204 to validate if the risk estimate we provide is consistent with the expected return of 0.073%. The fund retains a Market Volatility (i.e., Beta) of 0.36, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Grant Park's returns are expected to increase less than the market. However, during the bear market, the loss of holding Grant Park is expected to be smaller as well.
Auto-correlation | 0.35 |
Below average predictability
Grant Park Multi has below average predictability. Overlapping area represents the amount of predictability between Grant Park time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th of April 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 Grant Park Multi price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Grant Park price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Grant Park Multi lagged returns against current returns
Autocorrelation, which is Grant Park 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 Grant Park's mutual fund expected returns. We can calculate the autocorrelation of Grant Park returns to help us make a trade decision. For example, suppose you find that Grant Park 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 |
Grant Park 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 Grant Park mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Grant Park mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Grant Park mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Grant Park Lagged Returns
When evaluating Grant Park's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Grant Park mutual fund have on its future price. Grant Park 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, Grant Park autocorrelation shows the relationship between Grant Park mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Grant Park Multi.
Regressed Prices |
| Timeline |
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Grant Park technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.