Sp Smallcap 600 Fund Market Value
| RYAZX Fund | USD 187.05 1.24 0.67% |
| Symbol | RYAZX |
Sp Smallcap '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 Sp Smallcap'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 Sp Smallcap.
| 05/04/2022 |
| 04/23/2024 |
If you would invest 0.00 in Sp Smallcap on May 4, 2022 and sell it all today you would earn a total of 0.00 from holding Sp Smallcap 600 or generate 0.0% return on investment in Sp Smallcap over 720 days. Sp Smallcap is related to or competes with Sp 500, Sp Smallcap, Sp Midcap, Sp 500, and Sp Midcap. The fund employs as its investment strategy a program of investing in the common stock of companies that are within the ... More
Sp Smallcap 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 Sp Smallcap'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 Sp Smallcap 600 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.07) | |||
| Maximum Drawdown | 6.65 | |||
| Value At Risk | (2.03) | |||
| Potential Upside | 2.46 |
Sp Smallcap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Sp Smallcap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Sp Smallcap's standard deviation. In reality, there are many statistical measures that can use Sp Smallcap historical prices to predict the future Sp Smallcap's volatility.| Risk Adjusted Performance | (0.0008) | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.20) | |||
| Treynor Ratio | 0.1938 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Sp Smallcap'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.
Sp Smallcap 600 Backtested Returns
Sp Smallcap 600 retains Efficiency (Sharpe Ratio) of -0.0103, which indicates the fund had a -0.0103% return per unit of price deviation over the last 3 months. Sp Smallcap exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Sp Smallcap's Mean Deviation of 1.07, risk adjusted performance of (0.0008), and Standard Deviation of 1.38 to confirm the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.13, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Sp Smallcap are expected to decrease at a much lower rate. During the bear market, Sp Smallcap is likely to outperform the market.
Auto-correlation | 0.37 |
Below average predictability
Sp Smallcap 600 has below average predictability. Overlapping area represents the amount of predictability between Sp Smallcap time series from 4th of May 2022 to 29th of April 2023 and 29th of April 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 Sp Smallcap 600 price movement. The serial correlation of 0.37 indicates that just about 37.0% of current Sp Smallcap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.37 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 152.72 |
Sp Smallcap 600 lagged returns against current returns
Autocorrelation, which is Sp Smallcap 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 Sp Smallcap's mutual fund expected returns. We can calculate the autocorrelation of Sp Smallcap returns to help us make a trade decision. For example, suppose you find that Sp Smallcap 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 |
Sp Smallcap 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 Sp Smallcap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Sp Smallcap mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Sp Smallcap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Sp Smallcap Lagged Returns
When evaluating Sp Smallcap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Sp Smallcap mutual fund have on its future price. Sp Smallcap 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, Sp Smallcap autocorrelation shows the relationship between Sp Smallcap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Sp Smallcap 600.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Sp Smallcap Correlation, Sp Smallcap Volatility and Sp Smallcap Alpha and Beta module to complement your research on Sp Smallcap. Note that the Sp Smallcap 600 information on this page should be used as a complementary analysis to other Sp Smallcap'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 Theme Ratings module to determine theme ratings based on digital equity recommendations. Macroaxis theme ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Sp Smallcap 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.