Large Cap Equity Fund Market Value
| TLGUX Fund | USD 23.03 0.13 0.56% |
| Symbol | Large |
Large Cap '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 Large Cap'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 Large Cap.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Large Cap on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Large Cap Equity or generate 0.0% return on investment in Large Cap over 30 days. Large Cap is related to or competes with Vanguard Total, and Vanguard 500. The fund normally invests at least 80 percent of its net assets in the equity securities of large capitalization compani... More
Large Cap 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 Large Cap'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 Large Cap Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.7345 | |||
| Information Ratio | 0.0289 | |||
| Maximum Drawdown | 3.31 | |||
| Value At Risk | (1.17) | |||
| Potential Upside | 1.1 |
Large Cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Large Cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Large Cap's standard deviation. In reality, there are many statistical measures that can use Large Cap historical prices to predict the future Large Cap's volatility.| Risk Adjusted Performance | 0.0686 | |||
| Jensen Alpha | 0.0204 | |||
| Total Risk Alpha | 0.0148 | |||
| Sortino Ratio | 0.0279 | |||
| Treynor Ratio | 0.0659 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Large Cap'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.
Large Cap Equity Backtested Returns
We consider Large Cap very steady. Large Cap Equity has Sharpe Ratio of 0.0906, which conveys that the entity had a 0.0906% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Large Cap, which you can use to evaluate the volatility of the fund. Please verify Large Cap's Risk Adjusted Performance of 0.0686, downside deviation of 0.7345, and Mean Deviation of 0.5586 to check out if the risk estimate we provide is consistent with the expected return of 0.0636%. The fund secures a Beta (Market Risk) of 1.0, which conveys a somewhat significant risk relative to the market. Large Cap returns are very sensitive to returns on the market. As the market goes up or down, Large Cap is expected to follow.
Auto-correlation | -0.1 |
Very weak reverse predictability
Large Cap Equity has very weak reverse predictability. Overlapping area represents the amount of predictability between Large Cap time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Large Cap Equity price movement. The serial correlation of -0.1 indicates that less than 10.0% of current Large Cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.1 | |
| Spearman Rank Test | -0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Large Cap Equity lagged returns against current returns
Autocorrelation, which is Large Cap 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 Large Cap's mutual fund expected returns. We can calculate the autocorrelation of Large Cap returns to help us make a trade decision. For example, suppose you find that Large Cap 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 |
Large Cap 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 Large Cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Large Cap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Large Cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Large Cap Lagged Returns
When evaluating Large Cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Large Cap mutual fund have on its future price. Large Cap 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, Large Cap autocorrelation shows the relationship between Large Cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Large Cap Equity.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Large Cap Correlation, Large Cap Volatility and Large Cap Alpha and Beta module to complement your research on Large Cap. You can also try the AI Investment Finder module to use AI to screen and filter profitable investment opportunities.
Large Cap 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.