Smallcap Value Fund Market Value
| PJARX Fund | USD 11.11 0.09 0.80% |
| Symbol | Smallcap |
Smallcap Value '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 Smallcap Value'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 Smallcap Value.
| 03/17/2024 |
| 04/16/2024 |
If you would invest 0.00 in Smallcap Value on March 17, 2024 and sell it all today you would earn a total of 0.00 from holding Smallcap Value Fund or generate 0.0% return on investment in Smallcap Value over 30 days. Smallcap Value is related to or competes with Strategic Asset, Strategic Asset, Strategic Asset, International Equity, Strategic Asset, Strategic Asset, and International Small. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
Smallcap Value 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 Smallcap Value'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 Smallcap Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.2 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 5.47 | |||
| Value At Risk | (1.46) | |||
| Potential Upside | 1.69 |
Smallcap Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Smallcap Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Smallcap Value's standard deviation. In reality, there are many statistical measures that can use Smallcap Value historical prices to predict the future Smallcap Value's volatility.| Risk Adjusted Performance | 0.0215 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.10) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.0139 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Smallcap Value'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.
Smallcap Value Backtested Returns
We consider Smallcap Value very steady. Smallcap Value owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0512, which indicates the fund had a 0.0512% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Smallcap Value Fund, which you can use to evaluate the volatility of the fund. Please validate Smallcap Value's Semi Deviation of 1.15, risk adjusted performance of 0.0215, and Coefficient Of Variation of 3619.38 to confirm if the risk estimate we provide is consistent with the expected return of 0.058%. The entity has a beta of 1.49, 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, Smallcap Value will likely underperform.
Auto-correlation | -0.74 |
Almost perfect reverse predictability
Smallcap Value Fund has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Smallcap Value time series from 17th of March 2024 to 1st of April 2024 and 1st of April 2024 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 Smallcap Value price movement. The serial correlation of -0.74 indicates that around 74.0% of current Smallcap Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.74 | |
| Spearman Rank Test | -0.3 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Smallcap Value lagged returns against current returns
Autocorrelation, which is Smallcap Value 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 Smallcap Value's mutual fund expected returns. We can calculate the autocorrelation of Smallcap Value returns to help us make a trade decision. For example, suppose you find that Smallcap Value 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 |
Smallcap Value 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 Smallcap Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Smallcap Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Smallcap Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Smallcap Value Lagged Returns
When evaluating Smallcap Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Smallcap Value mutual fund have on its future price. Smallcap Value 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, Smallcap Value autocorrelation shows the relationship between Smallcap Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Smallcap Value Fund.
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 Smallcap Value 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, Smallcap Value's short interest history, or implied volatility extrapolated from Smallcap Value options trading.
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Check out Smallcap Value Correlation, Smallcap Value Volatility and Smallcap Value Alpha and Beta module to complement your research on Smallcap Value. You can also try the Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Smallcap Value 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.