Deutsche Small Cap Fund Market Value
| SZCRX Fund | USD 45.78 0.30 0.66% |
| Symbol | Deutsche |
Deutsche 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 Deutsche 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 Deutsche Small.
| 03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Deutsche Small on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Deutsche Small Cap or generate 0.0% return on investment in Deutsche Small over 30 days. Deutsche Small is related to or competes with Vanguard Small, Fidelity Small, T Rowe, and T Rowe. The fund invests at least 80 percent of net assets, plus the amount of any borrowings for investment purposes, in common... More
Deutsche 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 Deutsche 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 Deutsche Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.1 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 4.07 | |||
| Value At Risk | (1.62) | |||
| Potential Upside | 1.47 |
Deutsche Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deutsche Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deutsche Small's standard deviation. In reality, there are many statistical measures that can use Deutsche Small historical prices to predict the future Deutsche Small's volatility.| Risk Adjusted Performance | 0.012 | |||
| Jensen Alpha | 0.0043 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (0.12) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deutsche 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.
Deutsche Small Cap Backtested Returns
We consider Deutsche Small very steady. Deutsche Small Cap secures Sharpe Ratio (or Efficiency) of 0.0062, which denotes the fund had a 0.0062% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Deutsche Small Cap, which you can use to evaluate the volatility of the entity. Please confirm Deutsche Small's Mean Deviation of 0.7602, downside deviation of 1.1, and Coefficient Of Variation of 7256.85 to check if the risk estimate we provide is consistent with the expected return of 0.0059%. The fund shows a Beta (market volatility) of -0.0265, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Deutsche Small are expected to decrease at a much lower rate. During the bear market, Deutsche Small is likely to outperform the market.
Auto-correlation | -0.31 |
Poor reverse predictability
Deutsche Small Cap has poor reverse predictability. Overlapping area represents the amount of predictability between Deutsche Small time series from 19th of March 2024 to 3rd of April 2024 and 3rd of April 2024 to 18th 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 Deutsche Small Cap price movement. The serial correlation of -0.31 indicates that nearly 31.0% of current Deutsche Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.31 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 0.56 |
Deutsche Small Cap lagged returns against current returns
Autocorrelation, which is Deutsche 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 Deutsche Small's mutual fund expected returns. We can calculate the autocorrelation of Deutsche Small returns to help us make a trade decision. For example, suppose you find that Deutsche 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 |
Deutsche 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 Deutsche Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deutsche 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 Deutsche Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Deutsche Small Lagged Returns
When evaluating Deutsche Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deutsche Small mutual fund have on its future price. Deutsche 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, Deutsche Small autocorrelation shows the relationship between Deutsche Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Deutsche Small Cap.
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 Deutsche Small 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, Deutsche Small's short interest history, or implied volatility extrapolated from Deutsche Small options trading.
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Check out Deutsche Small Correlation, Deutsche Small Volatility and Deutsche Small Alpha and Beta module to complement your research on Deutsche Small. You can also try the Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Deutsche 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.