Small Cap Equity Fund Market Value
| GTCSX Fund | USD 35.75 0.68 1.87% |
| Symbol | Small |
Small Cap '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 Cap'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 Cap.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Small Cap on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Small Cap Equity or generate 0.0% return on investment in Small Cap over 30 days. Small Cap is related to or competes with Large Cap, Lazard International, Equity Income, Large Cap, and Laudus Us. The fund normally invests at least 80 percent of the value of its net assets in equity securities, such as common stocks... More
Small Cap 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 Cap'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 Cap Equity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9012 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 7.13 | |||
| Value At Risk | (1.51) | |||
| Potential Upside | 1.96 |
Small Cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Small Cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Small Cap's standard deviation. In reality, there are many statistical measures that can use Small Cap historical prices to predict the future Small Cap's volatility.| Risk Adjusted Performance | 0.0636 | |||
| Jensen Alpha | 0.0746 | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.8469 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Small Cap'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 Cap Equity Backtested Returns
At this stage we consider Small Mutual Fund to be very steady. Small Cap Equity owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0534, which indicates the fund had a 0.0534% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Small Cap Equity, which you can use to evaluate the volatility of the fund. Please validate Small Cap's Coefficient Of Variation of 1284.13, semi deviation of 0.8063, and Risk Adjusted Performance of 0.0636 to confirm if the risk estimate we provide is consistent with the expected return of 0.0669%. The entity has a beta of 0.1, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Small Cap's returns are expected to increase less than the market. However, during the bear market, the loss of holding Small Cap is expected to be smaller as well.
Auto-correlation | 0.21 |
Weak predictability
Small Cap Equity has weak predictability. Overlapping area represents the amount of predictability between Small Cap time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 Small Cap Equity price movement. The serial correlation of 0.21 indicates that over 21.0% of current Small Cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 0.27 |
Small Cap Equity lagged returns against current returns
Autocorrelation, which is Small Cap 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 Cap's mutual fund expected returns. We can calculate the autocorrelation of Small Cap returns to help us make a trade decision. For example, suppose you find that Small Cap 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 Cap 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 Cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Small Cap 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 Cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Small Cap Lagged Returns
When evaluating Small Cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Small Cap mutual fund have on its future price. Small Cap 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 Cap autocorrelation shows the relationship between Small Cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Small Cap Equity.
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.Other Information on Investing in Small Mutual Fund
Small Cap financial ratios help investors to determine whether Small Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Small with respect to the benefits of owning Small Cap security.
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