Smallcap Value Fund Market Value
| PSTWX Fund | USD 13.16 0.00 0.00% |
| Symbol | Smallcap |
Smallcap 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 Smallcap 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 Smallcap Value.
| 05/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Smallcap Value on May 6, 2024 and sell it all today you would earn a total of 0.00 from holding Smallcap Value Fund or generate 0.0% return on investment in Smallcap Value over 210 days. Smallcap Value is related to or competes with Adams Diversified, Massmutual Premier, Davenport Small, Fuller Thaler, Small Cap, Northern Small, and Blackrock. Under normal circumstances, the fund invests at least 80 percent of its net assets, plus any borrowings for investment p... More
Smallcap 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 Smallcap 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 Smallcap Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9902 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 7.87 | |||
| Value At Risk | (1.79) | |||
| Potential Upside | 1.9 |
Smallcap Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Smallcap Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Smallcap Value's standard deviation. In reality, there are many statistical measures that can use Smallcap Value historical prices to predict the future Smallcap Value's volatility.| Risk Adjusted Performance | 0.0615 | |||
| Jensen Alpha | 0.0631 | |||
| Total Risk Alpha | (0.13) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | 0.4642 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Smallcap 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.
Smallcap Value Backtested Returns
At this stage we consider Smallcap Mutual Fund to be very steady. Smallcap Value owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.12, which indicates the fund had a 0.12% return per unit of risk over the last 3 months. We have found twenty-four technical indicators for Smallcap Value Fund, which you can use to evaluate the volatility of the fund. Please validate Smallcap Value's Coefficient Of Variation of 1330.98, semi deviation of 0.8673, and Risk Adjusted Performance of 0.0615 to confirm if the risk estimate we provide is consistent with the expected return of 0.15%. The entity has a beta of 0.19, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Smallcap Value's returns are expected to increase less than the market. However, during the bear market, the loss of holding Smallcap Value is expected to be smaller as well.
Auto-correlation | 0.23 |
Weak predictability
Smallcap Value Fund has weak predictability. Overlapping area represents the amount of predictability between Smallcap Value time series from 6th of May 2024 to 19th of August 2024 and 19th of August 2024 to 2nd of December 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 Smallcap Value price movement. The serial correlation of 0.23 indicates that over 23.0% of current Smallcap Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.23 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Smallcap Value lagged returns against current returns
Autocorrelation, which is Smallcap 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 Smallcap Value's mutual fund expected returns. We can calculate the autocorrelation of Smallcap Value returns to help us make a trade decision. For example, suppose you find that Smallcap 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 |
Smallcap 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 Smallcap Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Smallcap 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 Smallcap Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Smallcap Value Lagged Returns
When evaluating Smallcap Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Smallcap Value mutual fund have on its future price. Smallcap 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, Smallcap Value autocorrelation shows the relationship between Smallcap Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Smallcap Value Fund.
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 Smallcap Mutual Fund
Smallcap Value financial ratios help investors to determine whether Smallcap 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 Smallcap with respect to the benefits of owning Smallcap Value security.
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