Small Midcap Dividend Income Fund Market Value
| PMDAX Fund | USD 17.42 0.01 0.06% |
| Symbol | Small |
Small Midcap '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 Small Midcap'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 Small Midcap.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Small Midcap on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Small Midcap Dividend Income or generate 0.0% return on investment in Small Midcap over 30 days. Small Midcap is related to or competes with Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, Strategic Asset, International Equity, and Strategic Asset. The fund invests at least 80 percent of its net assets, plus any borrowings for investment purposes, in dividend-paying ... More
Small Midcap 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 Small Midcap'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 Small Midcap Dividend Income upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.0 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.28 | |||
| Value At Risk | (1.49) | |||
| Potential Upside | 1.33 |
Small Midcap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Small Midcap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Small Midcap's standard deviation. In reality, there are many statistical measures that can use Small Midcap historical prices to predict the future Small Midcap's volatility.| Risk Adjusted Performance | 0.036 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0294 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Small Midcap'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.
Small Midcap Dividend Backtested Returns
We consider Small Midcap very steady. Small Midcap Dividend owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0137, which indicates the fund had a 0.0137% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Small Midcap Dividend Income, which you can use to evaluate the volatility of the fund. Please validate Small Midcap's Coefficient Of Variation of 1886.54, semi deviation of 0.9439, and Risk Adjusted Performance of 0.036 to confirm if the risk estimate we provide is consistent with the expected return of 0.0124%. The entity has a beta of 1.3, 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, Small Midcap will likely underperform.
Auto-correlation | -0.12 |
Insignificant reverse predictability
Small Midcap Dividend Income has insignificant reverse predictability. Overlapping area represents the amount of predictability between Small Midcap 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 Small Midcap Dividend price movement. The serial correlation of -0.12 indicates that less than 12.0% of current Small Midcap price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.12 | |
| Spearman Rank Test | 0.02 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Small Midcap Dividend lagged returns against current returns
Autocorrelation, which is Small Midcap 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 Small Midcap's mutual fund expected returns. We can calculate the autocorrelation of Small Midcap returns to help us make a trade decision. For example, suppose you find that Small Midcap 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 |
Small Midcap 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 Small Midcap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Small Midcap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Small Midcap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Small Midcap Lagged Returns
When evaluating Small Midcap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Small Midcap mutual fund have on its future price. Small Midcap 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, Small Midcap autocorrelation shows the relationship between Small Midcap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Small Midcap Dividend Income.
Regressed Prices |
| Timeline |
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Small Midcap Dividend using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
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Check out Small Midcap Correlation, Small Midcap Volatility and Small Midcap Alpha and Beta module to complement your research on Small Midcap. Note that the Small Midcap Dividend information on this page should be used as a complementary analysis to other Small Midcap'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 Pair Correlation module to compare performance and examine fundamental relationship between any two equity instruments.
Small Midcap 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.