Wasatch Small Cap Fund Market Value
| WIAEX Fund | USD 35.42 0.17 0.48% |
| Symbol | Wasatch |
Wasatch 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 Wasatch 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 Wasatch Small.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Wasatch Small on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Wasatch Small Cap or generate 0.0% return on investment in Wasatch Small over 30 days. Wasatch Small is related to or competes with Wasatch Small, and Pear Tree. The fund invests primarily in small growth companies More
Wasatch 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 Wasatch 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 Wasatch Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.22 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 4.91 | |||
| Value At Risk | (1.95) | |||
| Potential Upside | 1.8 |
Wasatch Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wasatch Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wasatch Small's standard deviation. In reality, there are many statistical measures that can use Wasatch Small historical prices to predict the future Wasatch Small's volatility.| Risk Adjusted Performance | 0.006 | |||
| Jensen Alpha | (0.1) | |||
| Total Risk Alpha | (0.12) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wasatch 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.
Wasatch Small Cap Backtested Returns
Wasatch Small Cap shows Sharpe Ratio of -0.0316, which attests that the fund had a -0.0316% return per unit of risk over the last 3 months. Wasatch Small Cap exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Wasatch Small's Downside Deviation of 1.22, market risk adjusted performance of 0.0052, and Mean Deviation of 0.9135 to validate the risk estimate we provide. The entity maintains a market beta of 1.55, which attests to 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, Wasatch Small will likely underperform.
Auto-correlation | 0.50 |
Modest predictability
Wasatch Small Cap has modest predictability. Overlapping area represents the amount of predictability between Wasatch Small time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Wasatch Small Cap price movement. The serial correlation of 0.5 indicates that about 50.0% of current Wasatch Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.5 | |
| Spearman Rank Test | 0.69 | |
| Residual Average | 0.0 | |
| Price Variance | 0.63 |
Wasatch Small Cap lagged returns against current returns
Autocorrelation, which is Wasatch 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 Wasatch Small's mutual fund expected returns. We can calculate the autocorrelation of Wasatch Small returns to help us make a trade decision. For example, suppose you find that Wasatch 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 |
Wasatch 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 Wasatch Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wasatch 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 Wasatch Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Wasatch Small Lagged Returns
When evaluating Wasatch Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wasatch Small mutual fund have on its future price. Wasatch 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, Wasatch Small autocorrelation shows the relationship between Wasatch Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Wasatch Small Cap.
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 Wasatch 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, Wasatch Small's short interest history, or implied volatility extrapolated from Wasatch Small options trading.
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 Wasatch Small Correlation, Wasatch Small Volatility and Wasatch Small Alpha and Beta module to complement your research on Wasatch Small. Note that the Wasatch Small Cap information on this page should be used as a complementary analysis to other Wasatch 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 Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.
Wasatch 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.