Smallcap World Fund Market Value
| CSPAX Fund | USD 64.00 0.78 1.20% |
| Symbol | Smallcap |
Smallcap World '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 Smallcap World'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 Smallcap World.
| 03/17/2024 |
| 04/16/2024 |
If you would invest 0.00 in Smallcap World on March 17, 2024 and sell it all today you would earn a total of 0.00 from holding Smallcap World Fund or generate 0.0% return on investment in Smallcap World over 30 days. Smallcap World is related to or competes with Income Fund, New World, American Mutual, American Mutual, American Funds, American Funds, and Income Fund. Normally the fund invests at least 80 percent of its net assets in common stocks and other equity-type securities of com... More
Smallcap World 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 Smallcap World'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 Smallcap World Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9074 | |||
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 3.37 | |||
| Value At Risk | (1.20) | |||
| Potential Upside | 1.21 |
Smallcap World Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Smallcap World's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Smallcap World's standard deviation. In reality, there are many statistical measures that can use Smallcap World historical prices to predict the future Smallcap World's volatility.| Risk Adjusted Performance | 0.009 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | (0) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Smallcap World'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.
Smallcap World Backtested Returns
We consider Smallcap World very steady. Smallcap World owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0569, which indicates the fund had a 0.0569% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Smallcap World Fund, which you can use to evaluate the volatility of the fund. Please validate Smallcap World's Coefficient Of Variation of 9315.02, semi deviation of 0.8715, and Risk Adjusted Performance of 0.009 to confirm if the risk estimate we provide is consistent with the expected return of 0.0457%. The entity has a beta of 1.19, 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, Smallcap World will likely underperform.
Auto-correlation | -0.54 |
Good reverse predictability
Smallcap World Fund has good reverse predictability. Overlapping area represents the amount of predictability between Smallcap World time series from 17th of March 2024 to 1st of April 2024 and 1st of April 2024 to 16th 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 Smallcap World price movement. The serial correlation of -0.54 indicates that about 54.0% of current Smallcap World price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.41 |
Smallcap World lagged returns against current returns
Autocorrelation, which is Smallcap World 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 Smallcap World's mutual fund expected returns. We can calculate the autocorrelation of Smallcap World returns to help us make a trade decision. For example, suppose you find that Smallcap World 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 |
Smallcap World 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 Smallcap World mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Smallcap World mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Smallcap World mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Smallcap World Lagged Returns
When evaluating Smallcap World's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Smallcap World mutual fund have on its future price. Smallcap World 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, Smallcap World autocorrelation shows the relationship between Smallcap World mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Smallcap World Fund.
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 Smallcap World 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, Smallcap World's short interest history, or implied volatility extrapolated from Smallcap World options trading.
Pair Trading with Smallcap World
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 Smallcap World 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 Smallcap World will appreciate offsetting losses from the drop in the long position's value.Moving together with Smallcap Mutual Fund
| 0.87 | AMECX | Income Fund | PairCorr |
| 0.94 | RNEBX | New World Fund | PairCorr |
| 0.89 | AMFCX | American Mutual | PairCorr |
| 0.89 | AMFFX | American Mutual | PairCorr |
| 0.89 | RNCCX | American Funds Me | PairCorr |
The ability to find closely correlated positions to Smallcap World could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Smallcap World 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 Smallcap World - 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 Smallcap World Fund to buy it.
The correlation of Smallcap World 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 Smallcap World moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Smallcap World 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 Smallcap World 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 Smallcap World Correlation, Smallcap World Volatility and Smallcap World Alpha and Beta module to complement your research on Smallcap World. Note that the Smallcap World information on this page should be used as a complementary analysis to other Smallcap World's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Sync Your Broker module to sync your existing holdings, watchlists, positions or portfolios from thousands of online brokerage services, banks, investment account aggregators and robo-advisors..
Smallcap World 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.