Blackrock Small Cap Fund Market Value
| PSGIX Fund | USD 18.98 0.07 0.37% |
| Symbol | Blackrock |
Blackrock 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 Blackrock 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 Blackrock Small.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Blackrock Small on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Blackrock Small Cap or generate 0.0% return on investment in Blackrock Small over 30 days. Blackrock Small is related to or competes with Fidelity Advisor, HUMANA, Morningstar Unconstrained, High Yield, Thrivent High, Via Renewables, and T Rowe. The fund will invest at least 80 percent of its net assets in equity securities of small cap companies and at least 80 p... More
Blackrock 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 Blackrock 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 Blackrock Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.56 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 6.47 | |||
| Value At Risk | (2.02) | |||
| Potential Upside | 1.98 |
Blackrock Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Small's standard deviation. In reality, there are many statistical measures that can use Blackrock Small historical prices to predict the future Blackrock Small's volatility.| Risk Adjusted Performance | 0.0387 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0366 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Blackrock 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.
Blackrock Small Cap Backtested Returns
We consider Blackrock Small very steady. Blackrock Small Cap secures Sharpe Ratio (or Efficiency) of 0.0318, which signifies that the fund had a 0.0318% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Blackrock Small Cap, which you can use to evaluate the volatility of the entity. Please confirm Blackrock Small's risk adjusted performance of 0.0387, and Mean Deviation of 1.05 to double-check if the risk estimate we provide is consistent with the expected return of 0.0437%. The fund shows a Beta (market volatility) of 1.7, which signifies 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, Blackrock Small will likely underperform.
Auto-correlation | 0.66 |
Good predictability
Blackrock Small Cap has good predictability. Overlapping area represents the amount of predictability between Blackrock Small time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Blackrock Small Cap price movement. The serial correlation of 0.66 indicates that around 66.0% of current Blackrock Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.15 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Blackrock Small Cap lagged returns against current returns
Autocorrelation, which is Blackrock 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 Blackrock Small's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Small returns to help us make a trade decision. For example, suppose you find that Blackrock 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 |
Blackrock 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 Blackrock Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock 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 Blackrock Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Small Lagged Returns
When evaluating Blackrock Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Small mutual fund have on its future price. Blackrock 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, Blackrock Small autocorrelation shows the relationship between Blackrock Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Small Cap.
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 Blackrock Small Cap 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 Blackrock Small Correlation, Blackrock Small Volatility and Blackrock Small Alpha and Beta module to complement your research on Blackrock Small. You can also try the Bond Analysis module to evaluate and analyze corporate bonds as a potential investment for your portfolios..
Blackrock 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.