Royce Special Equity Fund Market Value
| RYSEX Fund | USD 17.01 0.21 1.25% |
| Symbol | Royce |
Royce Special '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 Royce Special'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 Royce Special.
| 10/27/2023 |
| 04/24/2024 |
If you would invest 0.00 in Royce Special on October 27, 2023 and sell it all today you would earn a total of 0.00 from holding Royce Special Equity or generate 0.0% return on investment in Royce Special over 180 days. Royce Special is related to or competes with Templeton Emerging, Amg Gwk, Templeton Dragon, WisdomTree Japan, and Biglari Holdings. The funds investment adviser invests the funds assets primarily in equity securities of small-cap companies More
Royce Special 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 Royce Special'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 Royce Special Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 4.92 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.37 |
Royce Special Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Royce Special's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Royce Special's standard deviation. In reality, there are many statistical measures that can use Royce Special historical prices to predict the future Royce Special's volatility.| Risk Adjusted Performance | 0.0383 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.038 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Royce Special'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.
Royce Special Equity Backtested Returns
We consider Royce Special very steady. Royce Special Equity maintains Sharpe Ratio (i.e., Efficiency) of 0.0173, which implies the entity had a 0.0173% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Royce Special Equity, which you can use to evaluate the volatility of the fund. Please check Royce Special's Semi Deviation of 0.9906, coefficient of variation of 1797.58, and Risk Adjusted Performance of 0.0383 to confirm if the risk estimate we provide is consistent with the expected return of 0.0168%. The fund holds a Beta of 1.17, 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, Royce Special will likely underperform.
Auto-correlation | 0.48 |
Average predictability
Royce Special Equity has average predictability. Overlapping area represents the amount of predictability between Royce Special time series from 27th of October 2023 to 25th of January 2024 and 25th of January 2024 to 24th 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 Royce Special Equity price movement. The serial correlation of 0.48 indicates that about 48.0% of current Royce Special price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.48 | |
| Spearman Rank Test | 0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 0.05 |
Royce Special Equity lagged returns against current returns
Autocorrelation, which is Royce Special 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 Royce Special's mutual fund expected returns. We can calculate the autocorrelation of Royce Special returns to help us make a trade decision. For example, suppose you find that Royce Special 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 |
Royce Special 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 Royce Special mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Royce Special mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Royce Special mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Royce Special Lagged Returns
When evaluating Royce Special's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Royce Special mutual fund have on its future price. Royce Special 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, Royce Special autocorrelation shows the relationship between Royce Special mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Royce Special Equity.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Royce Special Correlation, Royce Special Volatility and Royce Special Alpha and Beta module to complement your research on Royce Special. Note that the Royce Special Equity information on this page should be used as a complementary analysis to other Royce Special'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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Royce Special 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.