Keeley Small Cap Fund Market Value
| KSDVX Fund | USD 16.16 0.02 0.12% |
| Symbol | Keeley |
Keeley 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 Keeley 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 Keeley Small.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Keeley Small on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Keeley Small Cap or generate 0.0% return on investment in Keeley Small over 30 days. Keeley Small is related to or competes with Keeley Mid, Keeley Small-mid, Oakmark Fund, Victory Sycamore, Oppenheimer Steelpath, Blackrock Midcap, and Alpscorecommodity. The advisor intends to pursue its investment objective by investing in equity securities of companies with a small marke... More
Keeley 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 Keeley 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 Keeley Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.2 | |||
| Information Ratio | 0.0162 | |||
| Maximum Drawdown | 4.78 | |||
| Value At Risk | (1.76) | |||
| Potential Upside | 1.68 |
Keeley Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Keeley Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Keeley Small's standard deviation. In reality, there are many statistical measures that can use Keeley Small historical prices to predict the future Keeley Small's volatility.| Risk Adjusted Performance | 0.056 | |||
| Jensen Alpha | 0.002 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0136 | |||
| Treynor Ratio | 0.0602 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Keeley 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.
Keeley Small Cap Backtested Returns
We consider Keeley Small very steady. Keeley Small Cap has Sharpe Ratio of 0.0448, which conveys that the entity had a 0.0448% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Keeley Small, which you can use to evaluate the volatility of the fund. Please verify Keeley Small's Risk Adjusted Performance of 0.056, mean deviation of 0.7381, and Downside Deviation of 1.2 to check out if the risk estimate we provide is consistent with the expected return of 0.0447%. The fund secures a Beta (Market Risk) of 1.24, which conveys 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, Keeley Small will likely underperform.
Auto-correlation | -0.39 |
Poor reverse predictability
Keeley Small Cap has poor reverse predictability. Overlapping area represents the amount of predictability between Keeley Small time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Keeley Small Cap price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Keeley Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.39 | |
| Spearman Rank Test | -0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Keeley Small Cap lagged returns against current returns
Autocorrelation, which is Keeley 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 Keeley Small's mutual fund expected returns. We can calculate the autocorrelation of Keeley Small returns to help us make a trade decision. For example, suppose you find that Keeley 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 |
Keeley 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 Keeley Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Keeley 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 Keeley Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Keeley Small Lagged Returns
When evaluating Keeley Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Keeley Small mutual fund have on its future price. Keeley 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, Keeley Small autocorrelation shows the relationship between Keeley Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Keeley Small Cap.
Regressed Prices |
| Timeline |
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Keeley 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.