Northern Small Cap Fund Market Value
| NOSGX Fund | USD 18.90 0.23 1.23% |
| Symbol | Northern |
Northern 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 Northern 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 Northern Small.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Northern Small on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding Northern Small Cap or generate 0.0% return on investment in Northern Small over 270 days. Northern Small is related to or competes with American Beacon, Harbor International, Credit Suisse, Metropolitan West, and Nuveen Small. The fund will invest at least 80 percent of its net assets in equity securities of small capitalization companies, which... More
Northern 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 Northern 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 Northern Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.37 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 6.77 | |||
| Value At Risk | (1.91) | |||
| Potential Upside | 1.98 |
Northern Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Northern Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Northern Small's standard deviation. In reality, there are many statistical measures that can use Northern Small historical prices to predict the future Northern Small's volatility.| Risk Adjusted Performance | 0.0262 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0212 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Northern 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.
Northern Small Cap Backtested Returns
We consider Northern Small very steady. Northern Small Cap has Sharpe Ratio of 0.0051, which conveys that the entity had a 0.0051% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Northern Small, which you can use to evaluate the volatility of the fund. Please verify Northern Small's Downside Deviation of 1.37, risk adjusted performance of 0.0262, and Mean Deviation of 0.9062 to check out if the risk estimate we provide is consistent with the expected return of 0.0061%. The fund secures a Beta (Market Risk) of 1.52, 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, Northern Small will likely underperform.
Auto-correlation | -0.22 |
Weak reverse predictability
Northern Small Cap has weak reverse predictability. Overlapping area represents the amount of predictability between Northern 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 Northern Small Cap price movement. The serial correlation of -0.22 indicates that over 22.0% of current Northern Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.14 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Northern Small Cap lagged returns against current returns
Autocorrelation, which is Northern 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 Northern Small's mutual fund expected returns. We can calculate the autocorrelation of Northern Small returns to help us make a trade decision. For example, suppose you find that Northern 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 |
Northern 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 Northern Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Northern 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 Northern Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Northern Small Lagged Returns
When evaluating Northern Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Northern Small mutual fund have on its future price. Northern 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, Northern Small autocorrelation shows the relationship between Northern Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Northern 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 Northern 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, Northern Small's short interest history, or implied volatility extrapolated from Northern Small options trading.
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Try AI Portfolio ArchitectCheck out Northern Small Correlation, Northern Small Volatility and Northern Small Alpha and Beta module to complement your research on Northern Small. Note that the Northern Small Cap information on this page should be used as a complementary analysis to other Northern 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 Investing Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
Northern 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.