Small Cap Growth Fund Market Value
| ANOIX Fund | USD 18.43 0.19 1.04% |
| Symbol | Small |
Small 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 Small 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 Small Cap.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in Small Cap on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding Small Cap Growth or generate 0.0% return on investment in Small Cap over 30 days. Small Cap is related to or competes with Focused Dynamic, Heritage Fund, Emerging Markets, Small Cap, and Global Growth. Under normal market conditions, the fund invests at least 80 percent of its net assets in small cap companies More
Small 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 Small 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 Small Cap Growth upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.21 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.94 | |||
| Value At Risk | (1.82) | |||
| Potential Upside | 1.82 |
Small Cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Small Cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Small Cap's standard deviation. In reality, there are many statistical measures that can use Small Cap historical prices to predict the future Small Cap's volatility.| Risk Adjusted Performance | 0.0139 | |||
| Jensen Alpha | (0.11) | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.0045 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Small 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.
Small Cap Growth Backtested Returns
We consider Small Cap very steady. Small Cap Growth owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.001, which indicates the fund had a 0.001% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Small Cap Growth, which you can use to evaluate the volatility of the fund. Please validate Small Cap's Semi Deviation of 1.15, risk adjusted performance of 0.0139, and Coefficient Of Variation of 6605.72 to confirm if the risk estimate we provide is consistent with the expected return of 0.0012%. The entity has a beta of 1.6, which indicates a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Small Cap will likely underperform.
Auto-correlation | 0.50 |
Modest predictability
Small Cap Growth has modest predictability. Overlapping area represents the amount of predictability between Small Cap time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd 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 Small Cap Growth price movement. The serial correlation of 0.5 indicates that about 50.0% of current Small Cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.27 |
Small Cap Growth lagged returns against current returns
Autocorrelation, which is Small 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 Small Cap's mutual fund expected returns. We can calculate the autocorrelation of Small Cap returns to help us make a trade decision. For example, suppose you find that Small 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 |
Small 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 Small Cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Small 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 Small Cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Small Cap Lagged Returns
When evaluating Small Cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Small Cap mutual fund have on its future price. Small 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, Small Cap autocorrelation shows the relationship between Small Cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Small Cap Growth.
Regressed Prices |
| Timeline |
Pair Trading with Small Cap
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Small Cap position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Small Cap will appreciate offsetting losses from the drop in the long position's value.Moving together with Small Mutual Fund
| 0.73 | TWADX | Value Fund A | PairCorr |
| 0.84 | TWCCX | Ultra Fund C | PairCorr |
| 0.86 | TWCAX | Select Fund A | PairCorr |
The ability to find closely correlated positions to Small Cap could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Small Cap when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Small Cap - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Small Cap Growth to buy it.
The correlation of Small Cap is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Small Cap moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Small Cap Growth moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Small Cap can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Small Cap Correlation, Small Cap Volatility and Small Cap Alpha and Beta module to complement your research on Small Cap. You can also try the Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.
Small 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.