Prudential Qma Small Cap Fund Market Value
| TRACX Fund | USD 17.64 0.04 0.23% |
| Symbol | Prudential |
Prudential Qma '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 Prudential Qma'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 Prudential Qma.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in Prudential Qma on May 6, 2022 and sell it all today you would earn a total of 0.00 from holding Prudential Qma Small Cap or generate 0.0% return on investment in Prudential Qma over 720 days. Prudential Qma is related to or competes with Towle Deep, Zacks Small, Zacks Small, Hennessy Focus, and Aberdeen Small. The fund normally invests at least 80 percent of its investable assets in equity and equity-related securities of small-... More
Prudential Qma 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 Prudential Qma'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 Prudential Qma Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.6 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 6.36 | |||
| Value At Risk | (2.54) | |||
| Potential Upside | 2.19 |
Prudential Qma Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Prudential Qma's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Prudential Qma's standard deviation. In reality, there are many statistical measures that can use Prudential Qma historical prices to predict the future Prudential Qma's volatility.| Risk Adjusted Performance | 0.0179 | |||
| Jensen Alpha | (0.12) | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0105 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Prudential Qma'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.
Prudential Qma Small Backtested Returns
Prudential Qma Small maintains Sharpe Ratio (i.e., Efficiency) of -0.0152, which implies the entity had a -0.0152% return per unit of risk over the last 3 months. Prudential Qma Small exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check Prudential Qma's Coefficient Of Variation of 4943.89, risk adjusted performance of 0.0179, and Semi Deviation of 1.53 to confirm the risk estimate we provide. The fund holds a Beta of 1.59, 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, Prudential Qma will likely underperform.
Auto-correlation | -0.03 |
Very weak reverse predictability
Prudential Qma Small Cap has very weak reverse predictability. Overlapping area represents the amount of predictability between Prudential Qma time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 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 Prudential Qma Small price movement. The serial correlation of -0.03 indicates that only 3.0% of current Prudential Qma price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 1.1 |
Prudential Qma Small lagged returns against current returns
Autocorrelation, which is Prudential Qma 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 Prudential Qma's mutual fund expected returns. We can calculate the autocorrelation of Prudential Qma returns to help us make a trade decision. For example, suppose you find that Prudential Qma 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 |
Prudential Qma 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 Prudential Qma mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Prudential Qma mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Prudential Qma mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Prudential Qma Lagged Returns
When evaluating Prudential Qma's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Prudential Qma mutual fund have on its future price. Prudential Qma 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, Prudential Qma autocorrelation shows the relationship between Prudential Qma mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Prudential Qma 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 Prudential Qma 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, Prudential Qma's short interest history, or implied volatility extrapolated from Prudential Qma options trading.
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Check out Prudential Qma Correlation, Prudential Qma Volatility and Prudential Qma Alpha and Beta module to complement your research on Prudential Qma. Note that the Prudential Qma Small information on this page should be used as a complementary analysis to other Prudential Qma'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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Prudential Qma 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.