Small Pany Value Fund Market Value
| SCVNX Fund | USD 37.44 0.08 0.21% |
| Symbol | Small |
Small Pany '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 Pany'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 Pany.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Small Pany on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Small Pany Value or generate 0.0% return on investment in Small Pany over 30 days. Small Pany is related to or competes with Vanguard Small, and Vanguard Small-cap. The fund invests at least 80 percent of its net assets in equity securities of small-capitalization companies More
Small Pany 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 Pany'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 Pany Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.18 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 5.04 | |||
| Value At Risk | (1.55) | |||
| Potential Upside | 1.79 |
Small Pany Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Small Pany's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Small Pany's standard deviation. In reality, there are many statistical measures that can use Small Pany historical prices to predict the future Small Pany's volatility.| Risk Adjusted Performance | 0.0561 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | 0.0537 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Small Pany'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 Pany Value Backtested Returns
We consider Small Pany very steady. Small Pany Value owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0675, which indicates the fund had a 0.0675% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Small Pany Value, which you can use to evaluate the volatility of the fund. Please validate Small Pany's Semi Deviation of 1.08, risk adjusted performance of 0.0561, and Coefficient Of Variation of 1204.86 to confirm if the risk estimate we provide is consistent with the expected return of 0.0739%. The entity has a beta of 1.51, 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 Pany will likely underperform.
Auto-correlation | 0.06 |
Virtually no predictability
Small Pany Value has virtually no predictability. Overlapping area represents the amount of predictability between Small Pany time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Pany Value price movement. The serial correlation of 0.06 indicates that barely 6.0% of current Small Pany price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.06 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 0.46 |
Small Pany Value lagged returns against current returns
Autocorrelation, which is Small Pany 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 Pany's mutual fund expected returns. We can calculate the autocorrelation of Small Pany returns to help us make a trade decision. For example, suppose you find that Small Pany 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 Pany 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 Pany mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Small Pany 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 Pany mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Small Pany Lagged Returns
When evaluating Small Pany's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Small Pany mutual fund have on its future price. Small Pany 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 Pany autocorrelation shows the relationship between Small Pany mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Small Pany Value.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Small Pany Correlation, Small Pany Volatility and Small Pany Alpha and Beta module to complement your research on Small Pany. You can also try the Global Correlations module to find global opportunities by holding instruments from different markets.
Small Pany 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.