Highland Small Cap Equity Fund Market Value
HSZAX Fund | USD 5.45 0.03 0.55% |
Symbol | Highland |
Highland 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 Highland 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 Highland Small.
03/19/2024 |
| 04/18/2024 |
If you would invest 0.00 in Highland Small on March 19, 2024 and sell it all today you would earn a total of 0.00 from holding Highland Small Cap Equity or generate 0.0% return on investment in Highland Small over 30 days. Highland Small is related to or competes with Vanguard Small, Fidelity Small, T Rowe, and T Rowe. The fund seeks to achieve its investment objective by investing at least 80 percent of its net assets under normal circu... More
Highland 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 Highland 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 Highland Small Cap Equity upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.14) | |||
Maximum Drawdown | 3.08 | |||
Value At Risk | (1.24) | |||
Potential Upside | 1.12 |
Highland Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Highland Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Highland Small's standard deviation. In reality, there are many statistical measures that can use Highland Small historical prices to predict the future Highland Small's volatility.Risk Adjusted Performance | (0.04) | |||
Jensen Alpha | (0.09) | |||
Total Risk Alpha | (0.11) | |||
Treynor Ratio | (0.08) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Highland 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.
Highland Small Cap Backtested Returns
Highland Small Cap holds Efficiency (Sharpe) Ratio of -0.0123, which attests that the entity had a -0.0123% return per unit of risk over the last 3 months. Highland Small Cap exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Highland Small's Standard Deviation of 0.7297, risk adjusted performance of (0.04), and Market Risk Adjusted Performance of (0.07) to validate the risk estimate we provide. The fund retains a Market Volatility (i.e., Beta) of 0.69, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, Highland Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Highland Small is expected to be smaller as well.
Auto-correlation | -0.67 |
Very good reverse predictability
Highland Small Cap Equity has very good reverse predictability. Overlapping area represents the amount of predictability between Highland 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 Highland Small Cap price movement. The serial correlation of -0.67 indicates that around 67.0% of current Highland Small price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.67 | |
Spearman Rank Test | -0.55 | |
Residual Average | 0.0 | |
Price Variance | 0.01 |
Highland Small Cap lagged returns against current returns
Autocorrelation, which is Highland 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 Highland Small's mutual fund expected returns. We can calculate the autocorrelation of Highland Small returns to help us make a trade decision. For example, suppose you find that Highland 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 |
Highland 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 Highland Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Highland 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 Highland Small mutual fund over time.
Current vs Lagged Prices |
Timeline |
Highland Small Lagged Returns
When evaluating Highland Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Highland Small mutual fund have on its future price. Highland 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, Highland Small autocorrelation shows the relationship between Highland Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Highland Small Cap Equity.
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 Highland 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, Highland Small's short interest history, or implied volatility extrapolated from Highland Small options trading.
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Try AI Portfolio ArchitectCheck out Highland Small Correlation, Highland Small Volatility and Highland Small Alpha and Beta module to complement your research on Highland Small. Note that the Highland Small Cap information on this page should be used as a complementary analysis to other Highland Small'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 Stock Screener module to find equities using a custom stock filter or screen asymmetry in trading patterns, price, volume, or investment outlook..
Highland 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.