Vy Umbia Small Fund Market Value
| ICSAX Fund | USD 16.32 0.28 1.75% |
| Symbol | ICSAX |
Vy Umbia '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 Vy Umbia'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 Vy Umbia.
| 02/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Vy Umbia on February 28, 2023 and sell it all today you would earn a total of 0.00 from holding Vy Umbia Small or generate 0.0% return on investment in Vy Umbia over 420 days. Vy Umbia is related to or competes with Voya Us, Voya Bond, Voya Limited, Voya Limited, Voya Us, Voya Limited, and Voya Emerging. Under normal market conditions, the Portfolio invests at least 80 percent of its net assets in equity securities of companies that have market capitalizations in the range of the companies within the Russell 2000 Value Index , at the time of purchase, that the sub-adviser believes are undervalued and have the potential for long-term growth. More
Vy Umbia 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 Vy Umbia'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 Vy Umbia Small upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 5.06 | |||
| Value At Risk | (1.59) | |||
| Potential Upside | 1.83 |
Vy Umbia Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vy Umbia's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vy Umbia's standard deviation. In reality, there are many statistical measures that can use Vy Umbia historical prices to predict the future Vy Umbia's volatility.| Risk Adjusted Performance | 0.0412 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0372 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vy Umbia'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.
Vy Umbia Small Backtested Returns
We consider Vy Umbia very steady. Vy Umbia Small retains Efficiency (Sharpe Ratio) of 0.0373, which indicates the fund had a 0.0373% return per unit of price deviation over the last 3 months. We have found twenty-seven technical indicators for Vy Umbia, which you can use to evaluate the volatility of the fund. Please validate Vy Umbia's Risk Adjusted Performance of 0.0412, mean deviation of 0.8344, and Downside Deviation of 1.22 to confirm if the risk estimate we provide is consistent with the expected return of 0.041%. The entity owns a Beta (Systematic Risk) of 1.5, 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, Vy Umbia will likely underperform.
Auto-correlation | 0.49 |
Average predictability
Vy Umbia Small has average predictability. Overlapping area represents the amount of predictability between Vy Umbia time series from 28th of February 2023 to 26th of September 2023 and 26th of September 2023 to 23rd 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 Vy Umbia Small price movement. The serial correlation of 0.49 indicates that about 49.0% of current Vy Umbia price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.49 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 0.91 |
Vy Umbia Small lagged returns against current returns
Autocorrelation, which is Vy Umbia 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 Vy Umbia's mutual fund expected returns. We can calculate the autocorrelation of Vy Umbia returns to help us make a trade decision. For example, suppose you find that Vy Umbia 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 |
Vy Umbia 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 Vy Umbia mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vy Umbia mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Vy Umbia mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Vy Umbia Lagged Returns
When evaluating Vy Umbia's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vy Umbia mutual fund have on its future price. Vy Umbia 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, Vy Umbia autocorrelation shows the relationship between Vy Umbia mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vy Umbia Small.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Vy Umbia Correlation, Vy Umbia Volatility and Vy Umbia Alpha and Beta module to complement your research on Vy Umbia. Note that the Vy Umbia Small information on this page should be used as a complementary analysis to other Vy Umbia'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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Vy Umbia 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.