Transamerica Small Cap Fund Market Value
| ASGTX Fund | USD 6.07 0.14 2.36% |
| Symbol | Transamerica |
Transamerica Small '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 Transamerica Small'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 Transamerica Small.
| 10/27/2023 |
| 04/24/2024 |
If you would invest 0.00 in Transamerica Small on October 27, 2023 and sell it all today you would earn a total of 0.00 from holding Transamerica Small Cap or generate 0.0% return on investment in Transamerica Small over 180 days. Transamerica Small is related to or competes with Calamos Global, Sprucegrove International, Crossmark Steward, Us Strategic, T Rowe, Huber Capital, and Mondrian Global. Under normal circumstances, the fund invests at least 80 percent of its net assets in stocks of small capitalization com... More
Transamerica Small 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 Transamerica Small'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 Transamerica Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.17 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.56 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 1.54 |
Transamerica Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transamerica Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transamerica Small's standard deviation. In reality, there are many statistical measures that can use Transamerica Small historical prices to predict the future Transamerica Small's volatility.| Risk Adjusted Performance | 0.0455 | |||
| Jensen Alpha | 0.0473 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.3472 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Transamerica Small'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.
Transamerica Small Cap Backtested Returns
We consider Transamerica Small not too volatile. Transamerica Small Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.066, which indicates the fund had a 0.066% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Transamerica Small Cap, which you can use to evaluate the volatility of the fund. Please validate Transamerica Small's Risk Adjusted Performance of 0.0455, semi deviation of 1.03, and Coefficient Of Variation of 1515.37 to confirm if the risk estimate we provide is consistent with the expected return of 0.0728%. The entity has a beta of 0.18, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Transamerica Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Transamerica Small is expected to be smaller as well.
Auto-correlation | 0.65 |
Good predictability
Transamerica Small Cap has good predictability. Overlapping area represents the amount of predictability between Transamerica Small time series from 27th of October 2023 to 25th of January 2024 and 25th of January 2024 to 24th 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 Transamerica Small Cap price movement. The serial correlation of 0.65 indicates that roughly 65.0% of current Transamerica Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.65 | |
| Spearman Rank Test | 0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Transamerica Small Cap lagged returns against current returns
Autocorrelation, which is Transamerica Small 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 Transamerica Small's mutual fund expected returns. We can calculate the autocorrelation of Transamerica Small returns to help us make a trade decision. For example, suppose you find that Transamerica Small 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 |
Transamerica Small 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 Transamerica Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transamerica Small mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transamerica Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Transamerica Small Lagged Returns
When evaluating Transamerica Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transamerica Small mutual fund have on its future price. Transamerica Small 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, Transamerica Small autocorrelation shows the relationship between Transamerica Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Transamerica Small Cap.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Transamerica Small in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Transamerica Small's short interest history, or implied volatility extrapolated from Transamerica Small options trading.
Pair Trading with Transamerica Small
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 Transamerica Small 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 Transamerica Small will appreciate offsetting losses from the drop in the long position's value.Moving together with Transamerica Mutual Fund
| 0.86 | VSGAX | Vanguard Small Cap | PairCorr |
| 0.86 | VSGIX | Vanguard Small Cap | PairCorr |
| 0.86 | VISGX | Vanguard Small Cap | PairCorr |
| 0.86 | VEXPX | Vanguard Explorer | PairCorr |
| 0.86 | VEXRX | Vanguard Explorer | PairCorr |
The ability to find closely correlated positions to Transamerica Small could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Transamerica Small 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 Transamerica Small - 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 Transamerica Small Cap to buy it.
The correlation of Transamerica Small 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 Transamerica Small moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Transamerica Small Cap 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 Transamerica Small 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 Transamerica Small Correlation, Transamerica Small Volatility and Transamerica Small Alpha and Beta module to complement your research on Transamerica Small. You can also try the My Watchlist Analysis module to analyze my current watchlist and to refresh optimization strategy. Macroaxis watchlist is based on self-learning algorithm to remember stocks you like.
Transamerica Small 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.