Ivy Small Cap Fund Market Value
| IYSAX Fund | USD 14.77 0.06 0.41% |
| Symbol | Ivy |
Ivy 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 Ivy 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 Ivy Small.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Ivy Small on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding Ivy Small Cap or generate 0.0% return on investment in Ivy Small over 270 days. Ivy Small is related to or competes with Optimum Small, Optimum Small, Delaware High, Delaware High-yield, Delaware High, Delaware High, and Delaware High-yield. The fund invests primarily in various types of equity securities of small- and mid-capitalization companies that the man... More
Ivy 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 Ivy 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 Ivy Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.69 | |||
| Value At Risk | (1.97) | |||
| Potential Upside | 1.72 |
Ivy Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ivy Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ivy Small's standard deviation. In reality, there are many statistical measures that can use Ivy Small historical prices to predict the future Ivy Small's volatility.| Risk Adjusted Performance | 0.0365 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0317 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ivy 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.
Ivy Small Cap Backtested Returns
We consider Ivy Small very steady. Ivy Small Cap holds Efficiency (Sharpe) Ratio of 0.0223, which attests that the entity had a 0.0223% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Ivy Small Cap, which you can use to evaluate the volatility of the entity. Please check out Ivy Small's Downside Deviation of 1.22, risk adjusted performance of 0.0365, and Market Risk Adjusted Performance of 0.0417 to validate if the risk estimate we provide is consistent with the expected return of 0.0227%. The fund retains a Market Volatility (i.e., Beta) of 1.39, which attests to 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, Ivy Small will likely underperform.
Auto-correlation | -0.69 |
Very good reverse predictability
Ivy Small Cap has very good reverse predictability. Overlapping area represents the amount of predictability between Ivy Small time series from 28th of July 2023 to 10th of December 2023 and 10th of December 2023 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 Ivy Small Cap price movement. The serial correlation of -0.69 indicates that around 69.0% of current Ivy Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.69 | |
| Spearman Rank Test | -0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 0.18 |
Ivy Small Cap lagged returns against current returns
Autocorrelation, which is Ivy 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 Ivy Small's mutual fund expected returns. We can calculate the autocorrelation of Ivy Small returns to help us make a trade decision. For example, suppose you find that Ivy 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 |
Ivy 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 Ivy Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ivy 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 Ivy Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ivy Small Lagged Returns
When evaluating Ivy Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ivy Small mutual fund have on its future price. Ivy 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, Ivy Small autocorrelation shows the relationship between Ivy Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ivy Small Cap.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Ivy Small Correlation, Ivy Small Volatility and Ivy Small Alpha and Beta module to complement your research on Ivy Small. Note that the Ivy Small Cap information on this page should be used as a complementary analysis to other Ivy Small'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 Balance Of Power module to check stock momentum by analyzing Balance Of Power indicator and other technical ratios.
Ivy 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.