Small Capitalization Portfolio Fund Market Value
| SSCYX Fund | USD 6.04 0.01 0.17% |
| Symbol | Small |
Small Capitalization '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 Small Capitalization'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 Small Capitalization.
| 05/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in Small Capitalization on May 24, 2023 and sell it all today you would earn a total of 0.00 from holding Small Capitalization Portfolio or generate 0.0% return on investment in Small Capitalization over 330 days. Small Capitalization is related to or competes with Vanguard Small, Fidelity Small, T Rowe, and T Rowe. The fund will normally invest at least 80 percent of its total assets in common stocks of companies whose stock market c... More
Small Capitalization 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 Small Capitalization'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 Small Capitalization Portfolio upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.33 | |||
| Information Ratio | 0.003 | |||
| Maximum Drawdown | 5.56 | |||
| Value At Risk | (1.98) | |||
| Potential Upside | 2.05 |
Small Capitalization Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Small Capitalization's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Small Capitalization's standard deviation. In reality, there are many statistical measures that can use Small Capitalization historical prices to predict the future Small Capitalization's volatility.| Risk Adjusted Performance | 0.0338 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 0.003 | |||
| Treynor Ratio | 0.0302 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Small Capitalization'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.
Small Capitalization Backtested Returns
We consider Small Capitalization not too volatile. Small Capitalization owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0426, which indicates the fund had a 0.0426% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Small Capitalization Portfolio, which you can use to evaluate the volatility of the fund. Please validate Small Capitalization's Coefficient Of Variation of 2206.88, risk adjusted performance of 0.0338, and Semi Deviation of 1.22 to confirm if the risk estimate we provide is consistent with the expected return of 0.0568%. The entity has a beta of 1.64, 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, Small Capitalization will likely underperform.
Auto-correlation | -0.2 |
Insignificant reverse predictability
Small Capitalization Portfolio has insignificant reverse predictability. Overlapping area represents the amount of predictability between Small Capitalization time series from 24th of May 2023 to 5th of November 2023 and 5th of November 2023 to 18th 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 Small Capitalization price movement. The serial correlation of -0.2 indicates that over 20.0% of current Small Capitalization price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.2 | |
| Spearman Rank Test | -0.37 | |
| Residual Average | 0.0 | |
| Price Variance | 0.18 |
Small Capitalization lagged returns against current returns
Autocorrelation, which is Small Capitalization 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 Small Capitalization's mutual fund expected returns. We can calculate the autocorrelation of Small Capitalization returns to help us make a trade decision. For example, suppose you find that Small Capitalization 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 |
Small Capitalization 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 Small Capitalization mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Small Capitalization mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Small Capitalization mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Small Capitalization Lagged Returns
When evaluating Small Capitalization's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Small Capitalization mutual fund have on its future price. Small Capitalization 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, Small Capitalization autocorrelation shows the relationship between Small Capitalization mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Small Capitalization Portfolio.
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 Small Capitalization 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, Small Capitalization's short interest history, or implied volatility extrapolated from Small Capitalization options trading.
Currently Active Assets on Macroaxis
Check out Small Capitalization Correlation, Small Capitalization Volatility and Small Capitalization Alpha and Beta module to complement your research on Small Capitalization. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Small Capitalization 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.