Royce Dividend Value Fund Market Value
| RDVIX Fund | USD 6.33 0.02 0.32% |
| Symbol | Royce |
Royce Dividend '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 Royce Dividend'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 Royce Dividend.
| 07/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Royce Dividend on July 28, 2023 and sell it all today you would earn a total of 0.00 from holding Royce Dividend Value or generate 0.0% return on investment in Royce Dividend over 270 days. Royce Dividend is related to or competes with Royce Small, Royce Global, Royce Special, Royce Micro, and Sp Midcap. Royce Associates, LP , the funds investment adviser, invests the funds assets primarily in dividend-paying securities of... More
Royce Dividend 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 Royce Dividend'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 Royce Dividend Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9252 | |||
| Information Ratio | 0.0534 | |||
| Maximum Drawdown | 4.09 | |||
| Value At Risk | (1.52) | |||
| Potential Upside | 1.32 |
Royce Dividend Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Royce Dividend's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Royce Dividend's standard deviation. In reality, there are many statistical measures that can use Royce Dividend historical prices to predict the future Royce Dividend's volatility.| Risk Adjusted Performance | 0.0967 | |||
| Jensen Alpha | 0.0248 | |||
| Total Risk Alpha | 0.0158 | |||
| Sortino Ratio | 0.0493 | |||
| Treynor Ratio | 0.0948 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Royce Dividend'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.
Royce Dividend Value Backtested Returns
We consider Royce Dividend not too volatile. Royce Dividend Value maintains Sharpe Ratio (i.e., Efficiency) of 0.13, which implies the entity had a 0.13% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Royce Dividend Value, which you can use to evaluate the volatility of the fund. Please check Royce Dividend's Semi Deviation of 0.8104, risk adjusted performance of 0.0967, and Coefficient Of Variation of 651.94 to confirm if the risk estimate we provide is consistent with the expected return of 0.11%. The fund holds a Beta of 1.28, which implies 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, Royce Dividend will likely underperform.
Auto-correlation | -0.62 |
Very good reverse predictability
Royce Dividend Value has very good reverse predictability. Overlapping area represents the amount of predictability between Royce Dividend 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 Royce Dividend Value price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Royce Dividend price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Royce Dividend Value lagged returns against current returns
Autocorrelation, which is Royce Dividend 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 Royce Dividend's mutual fund expected returns. We can calculate the autocorrelation of Royce Dividend returns to help us make a trade decision. For example, suppose you find that Royce Dividend 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 |
Royce Dividend 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 Royce Dividend mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Royce Dividend mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Royce Dividend mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Royce Dividend Lagged Returns
When evaluating Royce Dividend's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Royce Dividend mutual fund have on its future price. Royce Dividend 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, Royce Dividend autocorrelation shows the relationship between Royce Dividend mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Royce Dividend Value.
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 Royce Dividend 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, Royce Dividend's short interest history, or implied volatility extrapolated from Royce Dividend options trading.
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Check out Royce Dividend Correlation, Royce Dividend Volatility and Royce Dividend Alpha and Beta module to complement your research on Royce Dividend. You can also try the Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
Royce Dividend 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.