William Blair Small Fund Market Value
| WBSNX Fund | USD 27.47 0.40 1.44% |
| Symbol | William |
William Blair '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 William Blair'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 William Blair.
| 04/27/2022 |
| 04/16/2024 |
If you would invest 0.00 in William Blair on April 27, 2022 and sell it all today you would earn a total of 0.00 from holding William Blair Small or generate 0.0% return on investment in William Blair over 720 days. William Blair is related to or competes with William Blair, Boston Partners, Dreyfus Opportunistic, International Equity, and Berkshire Focus. The fund normally invests at least 80 percent of its net assets in stocks of small capitalized companies More
William Blair 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 William Blair'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 William Blair Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.19 | |||
| Information Ratio | 0.0082 | |||
| Maximum Drawdown | 5.46 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 1.94 |
William Blair Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for William Blair's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as William Blair's standard deviation. In reality, there are many statistical measures that can use William Blair historical prices to predict the future William Blair's volatility.| Risk Adjusted Performance | 0.0506 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.0082 | |||
| Treynor Ratio | 0.0486 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of William Blair'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.
William Blair Small Backtested Returns
We consider William Blair very steady. William Blair Small shows Sharpe Ratio of 0.0802, which attests that the fund had a 0.0802% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for William Blair Small, which you can use to evaluate the volatility of the fund. Please check out William Blair's Market Risk Adjusted Performance of 0.0586, downside deviation of 1.19, and Mean Deviation of 0.9384 to validate if the risk estimate we provide is consistent with the expected return of 0.0987%. The entity maintains a market beta of 1.61, which attests to 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, William Blair will likely underperform.
Auto-correlation | 0.45 |
Average predictability
William Blair Small has average predictability. Overlapping area represents the amount of predictability between William Blair time series from 27th of April 2022 to 22nd of April 2023 and 22nd of April 2023 to 16th 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 William Blair Small price movement. The serial correlation of 0.45 indicates that just about 45.0% of current William Blair price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 2.41 |
William Blair Small lagged returns against current returns
Autocorrelation, which is William Blair 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 William Blair's mutual fund expected returns. We can calculate the autocorrelation of William Blair returns to help us make a trade decision. For example, suppose you find that William Blair 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 |
William Blair 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 William Blair mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if William Blair mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in William Blair mutual fund over time.
Current vs Lagged Prices |
| Timeline |
William Blair Lagged Returns
When evaluating William Blair's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of William Blair mutual fund have on its future price. William Blair 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, William Blair autocorrelation shows the relationship between William Blair mutual fund current value and its past values and can show if there is a momentum factor associated with investing in William Blair Small.
Regressed Prices |
| Timeline |
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Check out William Blair Correlation, William Blair Volatility and William Blair Alpha and Beta module to complement your research on William Blair. You can also try the Commodity Channel module to use Commodity Channel Index to analyze current equity momentum.
William Blair 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.