Coronation Smaller (South Africa) Market Value
| 0P0000IR32 | 137.00 0.44 0.32% |
| Symbol | Coronation |
Coronation Smaller '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 Coronation Smaller's 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 Coronation Smaller.
| 12/07/2022 |
| 11/26/2024 |
If you would invest 0.00 in Coronation Smaller on December 7, 2022 and sell it all today you would earn a total of 0.00 from holding Coronation Smaller Companies or generate 0.0% return on investment in Coronation Smaller over 720 days.
Coronation Smaller 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 Coronation Smaller's 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 Coronation Smaller Companies upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6599 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.95 | |||
| Value At Risk | (0.97) | |||
| Potential Upside | 1.15 |
Coronation Smaller Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Coronation Smaller's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Coronation Smaller's standard deviation. In reality, there are many statistical measures that can use Coronation Smaller historical prices to predict the future Coronation Smaller's volatility.| Risk Adjusted Performance | 0.1301 | |||
| Jensen Alpha | 0.0868 | |||
| Total Risk Alpha | (0.0006) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.8624 |
Coronation Smaller Backtested Returns
Coronation Smaller is very steady at the moment. Coronation Smaller secures Sharpe Ratio (or Efficiency) of 0.0942, which signifies that the fund had a 0.0942% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Coronation Smaller Companies, which you can use to evaluate the volatility of the entity. Please confirm Coronation Smaller's Downside Deviation of 0.6599, risk adjusted performance of 0.1301, and Mean Deviation of 0.456 to double-check if the risk estimate we provide is consistent with the expected return of 0.0604%. The fund shows a Beta (market volatility) of 0.12, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Coronation Smaller's returns are expected to increase less than the market. However, during the bear market, the loss of holding Coronation Smaller is expected to be smaller as well.
Auto-correlation | 0.01 |
Virtually no predictability
Coronation Smaller Companies has virtually no predictability. Overlapping area represents the amount of predictability between Coronation Smaller time series from 7th of December 2022 to 2nd of December 2023 and 2nd of December 2023 to 26th of November 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 Coronation Smaller price movement. The serial correlation of 0.01 indicates that just 1.0% of current Coronation Smaller price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.01 | |
| Spearman Rank Test | -0.08 | |
| Residual Average | 0.0 | |
| Price Variance | 136.12 |
Coronation Smaller lagged returns against current returns
Autocorrelation, which is Coronation Smaller 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 Coronation Smaller's fund expected returns. We can calculate the autocorrelation of Coronation Smaller returns to help us make a trade decision. For example, suppose you find that Coronation Smaller has exhibited high autocorrelation historically, and you observe that the 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 |
Coronation Smaller 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 Coronation Smaller fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Coronation Smaller fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Coronation Smaller fund over time.
Current vs Lagged Prices |
| Timeline |
Coronation Smaller Lagged Returns
When evaluating Coronation Smaller's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Coronation Smaller fund have on its future price. Coronation Smaller 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, Coronation Smaller autocorrelation shows the relationship between Coronation Smaller fund current value and its past values and can show if there is a momentum factor associated with investing in Coronation Smaller Companies.
Regressed Prices |
| Timeline |
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