Vulcan Value Partners Fund Market Value
VVPSX Fund | USD 11.55 0.03 0.26% |
Symbol | Vulcan |
Vulcan 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 Vulcan 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 Vulcan Value.
03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Vulcan Value on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Vulcan Value Partners or generate 0.0% return on investment in Vulcan Value over 30 days. Vulcan Value is related to or competes with T Rowe, Morningstar Unconstrained, and SPACE. The fund seeks to achieve long term capital appreciation by investing primarily in publicly traded small-cap companies t... More
Vulcan 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 Vulcan 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 Vulcan Value Partners upside and downside potential and time the market with a certain degree of confidence.
Information Ratio | (0.11) | |||
Maximum Drawdown | 4.72 | |||
Value At Risk | (1.63) | |||
Potential Upside | 1.59 |
Vulcan Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Vulcan Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Vulcan Value's standard deviation. In reality, there are many statistical measures that can use Vulcan Value historical prices to predict the future Vulcan Value's volatility.Risk Adjusted Performance | (0) | |||
Jensen Alpha | (0.13) | |||
Total Risk Alpha | (0.15) | |||
Treynor Ratio | (0.02) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Vulcan 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.
Vulcan Value Partners Backtested Returns
Vulcan Value Partners owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0428, which indicates the fund had a -0.0428% return per unit of risk over the last 3 months. Vulcan Value Partners exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Vulcan Value's Variance of 0.8712, risk adjusted performance of (0), and Coefficient Of Variation of (9,241) to confirm the risk estimate we provide. The entity has a beta of 1.25, 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, Vulcan Value will likely underperform.
Auto-correlation | 0.27 |
Poor predictability
Vulcan Value Partners has poor predictability. Overlapping area represents the amount of predictability between Vulcan Value time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Vulcan Value Partners price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current Vulcan Value price fluctuation can be explain by its past prices.
Correlation Coefficient | 0.27 | |
Spearman Rank Test | 0.39 | |
Residual Average | 0.0 | |
Price Variance | 0.02 |
Vulcan Value Partners lagged returns against current returns
Autocorrelation, which is Vulcan 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 Vulcan Value's mutual fund expected returns. We can calculate the autocorrelation of Vulcan Value returns to help us make a trade decision. For example, suppose you find that Vulcan 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 |
Vulcan 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 Vulcan Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Vulcan 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 Vulcan Value mutual fund over time.
Current vs Lagged Prices |
Timeline |
Vulcan Value Lagged Returns
When evaluating Vulcan Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Vulcan Value mutual fund have on its future price. Vulcan 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, Vulcan Value autocorrelation shows the relationship between Vulcan Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Vulcan Value Partners.
Regressed Prices |
Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Check out Vulcan Value Correlation, Vulcan Value Volatility and Vulcan Value Alpha and Beta module to complement your research on Vulcan Value. You can also try the Idea Optimizer module to use advanced portfolio builder with pre-computed micro ideas to build optimal portfolio .
Vulcan 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.