Driehaus International Small Fund Market Value
| DRIOX Fund | USD 9.03 0.10 1.10% |
| Symbol | Driehaus |
Driehaus International '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 Driehaus International'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 Driehaus International.
| 07/22/2023 |
| 04/17/2024 |
If you would invest 0.00 in Driehaus International on July 22, 2023 and sell it all today you would earn a total of 0.00 from holding Driehaus International Small or generate 0.0% return on investment in Driehaus International over 270 days. Driehaus International is related to or competes with Driehaus Emerging, Driehaus Multi-asset, Driehaus Micro, Driehaus Small, Driehaus Emerging, Driehaus Emerging, and Driehaus Smallmid. The fund uses a growth style of investment in equity securities, including common stocks and other equity securities of ... More
Driehaus International 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 Driehaus International'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 Driehaus International Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8181 | |||
| Information Ratio | 0.0155 | |||
| Maximum Drawdown | 3.45 | |||
| Value At Risk | (1.47) | |||
| Potential Upside | 1.43 |
Driehaus International Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Driehaus International's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Driehaus International's standard deviation. In reality, there are many statistical measures that can use Driehaus International historical prices to predict the future Driehaus International's volatility.| Risk Adjusted Performance | 0.0602 | |||
| Jensen Alpha | 0.0118 | |||
| Total Risk Alpha | 0.0025 | |||
| Sortino Ratio | 0.0142 | |||
| Treynor Ratio | 0.0599 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Driehaus International'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.
Driehaus International Backtested Returns
We consider Driehaus International very steady. Driehaus International secures Sharpe Ratio (or Efficiency) of 0.13, which denotes the fund had a 0.13% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Driehaus International Small, which you can use to evaluate the volatility of the entity. Please confirm Driehaus International's Coefficient Of Variation of 1076.2, downside deviation of 0.8181, and Mean Deviation of 0.564 to check if the risk estimate we provide is consistent with the expected return of 0.0892%. The fund shows a Beta (market volatility) of 1.0, which means possible diversification benefits within a given portfolio. Driehaus International returns are very sensitive to returns on the market. As the market goes up or down, Driehaus International is expected to follow.
Auto-correlation | -0.6 |
Good reverse predictability
Driehaus International Small has good reverse predictability. Overlapping area represents the amount of predictability between Driehaus International time series from 22nd of July 2023 to 4th of December 2023 and 4th of December 2023 to 17th 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 Driehaus International price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Driehaus International price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.41 | |
| Residual Average | 0.0 | |
| Price Variance | 0.13 |
Driehaus International lagged returns against current returns
Autocorrelation, which is Driehaus International 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 Driehaus International's mutual fund expected returns. We can calculate the autocorrelation of Driehaus International returns to help us make a trade decision. For example, suppose you find that Driehaus International 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 |
Driehaus International 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 Driehaus International mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Driehaus International mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Driehaus International mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Driehaus International Lagged Returns
When evaluating Driehaus International's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Driehaus International mutual fund have on its future price. Driehaus International 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, Driehaus International autocorrelation shows the relationship between Driehaus International mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Driehaus International Small.
Regressed Prices |
| Timeline |
Pair Trading with Driehaus International
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 Driehaus International 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 Driehaus International will appreciate offsetting losses from the drop in the long position's value.Moving together with Driehaus Mutual Fund
| 0.93 | DIEMX | Driehaus Emerging Markets | PairCorr |
| 0.96 | DMAGX | Driehaus Multi Asset | PairCorr |
| 0.89 | DMCRX | Driehaus Micro Cap | PairCorr |
| 0.93 | DNSMX | Driehaus Small Cap | PairCorr |
| 0.94 | DRESX | Driehaus Emerging Markets | PairCorr |
The ability to find closely correlated positions to Driehaus International could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Driehaus International 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 Driehaus International - 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 Driehaus International Small to buy it.
The correlation of Driehaus International 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 Driehaus International moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Driehaus International 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 Driehaus International 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 Driehaus International Correlation, Driehaus International Volatility and Driehaus International Alpha and Beta module to complement your research on Driehaus International. You can also try the Economic Indicators module to top statistical indicators that provide insights into how an economy is performing.
Driehaus International 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.