Small Cap Equity Fund Volatility
| GTCSX Fund | USD 35.75 0.68 1.87% |
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 Risk Adjusted Performance of 0.0636, semi deviation of 0.8063, and Coefficient Of Variation of 1284.13 to confirm if the risk estimate we provide is consistent with the expected return of 0.0669%. Key indicators related to Small Cap's volatility include:
60 Days Market Risk | Chance Of Distress | 60 Days Economic Sensitivity |
Small Cap Mutual Fund volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Small daily returns, and it is calculated using variance and standard deviation. We also use Small's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Small Cap volatility.
Small |
Downward market volatility can be a perfect environment for investors who play the long game with Small Cap. They may decide to buy additional shares of Small Cap at lower prices to lower the average cost per share, thereby improving their portfolio's performance when markets normalize.
Moving together with Small Mutual Fund
| 0.69 | NOVIX | Glenmede International | PairCorr |
| 0.75 | GEQIX | Equity Income Portfolio | PairCorr |
| 0.79 | GWILX | Woman In Leadership | PairCorr |
| 0.9 | RESGX | Responsible Esg Equity | PairCorr |
| 0.71 | GLSOX | Secured Options Portfolio | PairCorr |
| 0.87 | GQLVX | Quantitative U S | PairCorr |
| 0.98 | GQSCX | Quantitative U S | PairCorr |
| 0.82 | GTAPX | Long/short Portfolio | PairCorr |
| 0.86 | GTCEX | Strategic Equity Por | PairCorr |
Moving against Small Mutual Fund
Small Cap Market Sensitivity And Downside Risk
Small Cap's beta coefficient measures the volatility of Small mutual fund compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Small mutual fund's returns against your selected market. In other words, Small Cap's beta of 0.1 provides an investor with an approximation of how much risk Small Cap mutual fund can potentially add to one of your existing portfolios. Small Cap Equity has low volatility with Treynor Ratio of 0.85, Maximum Drawdown of 7.13 and kurtosis of 5.79. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Small Cap's mutual fund risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Small Cap's mutual fund price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Small Cap Equity Demand TrendCheck current 90 days Small Cap correlation with market (Dow Jones Industrial)Small Beta |
Small standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.25 |
It is essential to understand the difference between upside risk (as represented by Small Cap's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Small Cap's daily returns or price. Since the actual investment returns on holding a position in small mutual fund tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Small Cap.
Small Cap Equity Mutual Fund Volatility Analysis
Volatility refers to the frequency at which Small Cap fund price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Small Cap's price changes. Investors will then calculate the volatility of Small Cap's mutual fund to predict their future moves. A fund that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A mutual fund with relatively stable price changes has low volatility. A highly volatile fund is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Small Cap's volatility:
Historical Volatility
This type of fund volatility measures Small Cap's fluctuations based on previous trends. It's commonly used to predict Small Cap's future behavior based on its past. However, it cannot conclusively determine the future direction of the mutual fund.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Small Cap's current market price. This means that the fund will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Small Cap's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Small Cap Equity Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Small Cap Projected Return Density Against Market
Assuming the 90 days horizon Small Cap has a beta of 0.1028 . This usually indicates as returns on the market go up, Small Cap average returns are expected to increase less than the benchmark. However, during the bear market, the loss on holding Small Cap Equity will be expected to be much smaller as well.Most traded equities are subject to two types of risk - systematic (i.e., market) and unsystematic (i.e., nonmarket or company-specific) risk. Unsystematic risk is the risk that events specific to Small Cap or Glenmede sector will adversely affect the stock's price. This type of risk can be diversified away by owning several different stocks in different industries whose stock prices have shown a small correlation to each other. On the other hand, systematic risk is the risk that Small Cap's price will be affected by overall mutual fund market movements and cannot be diversified away. So, no matter how many positions you have, you cannot eliminate market risk. However, you can measure a Small fund's historical response to market movements and buy it if you are comfortable with its volatility direction. Beta and standard deviation are two commonly used measures to help you make the right decision.
Small Cap Equity has an alpha of 0.0746, implying that it can generate a 0.0746 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Small Cap Price Volatility?
Several factors can influence a fund's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the stock price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence stock prices due to increased regulations on compliance that may impact the company's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence stock prices. Everything from speeches to elections may influence investors, who can directly influence the stock prices in any particular industry. The prevailing economic situation also plays a significant role in stock prices. When the economy is doing well, investors will have a positive reaction and hence, better stock prices and vice versa.The Company's Performance
Sometimes volatility will only affect an individual company. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the company. This positive attention will raise the company's stock price. In contrast, product recalls and data breaches may negatively influence a company's stock prices.Small Cap Mutual Fund Risk Measures
Assuming the 90 days horizon the coefficient of variation of Small Cap is 1873.8. The daily returns are distributed with a variance of 1.57 and standard deviation of 1.25. The mean deviation of Small Cap Equity is currently at 0.88. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.77
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | 0.10 | |
σ | Overall volatility | 1.25 | |
Ir | Information ratio | -0.03 |
Small Cap Mutual Fund Return Volatility
Small Cap historical daily return volatility represents how much of Small Cap fund's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. The fund shows 1.2531% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7626% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
About Small Cap Volatility
Volatility is a rate at which the price of Small Cap or any other equity instrument increases or decreases for a given set of returns. It is measured by calculating the standard deviation of the annualized returns over a given period of time and shows the range to which the price of Small Cap may increase or decrease. In other words, similar to Small's beta indicator, it measures the risk of Small Cap and helps estimate the fluctuations that may happen in a short period of time. So if prices of Small Cap fluctuate rapidly in a short time span, it is termed to have high volatility, and if it swings slowly in a more extended period, it is understood to have low volatility.
Please read more on our technical analysis page.The fund normally invests at least 80 percent of the value of its net assets in equity securities, such as common stocks and preferred stocks, of U.S. small cap companies that the Advisor believes are undervalued. Small cap companies include companies with market capitalizations, at the time of purchase, that are within the market capitalization range of any stock in the Russell 2000 Index at its last rebalancing.
Small Cap's stock volatility refers to the amount of uncertainty or risk involved with the size of changes in its stock's price. It is a statistical measure of the dispersion of returns on Small Mutual Fund over a specified period of time, often expressed as the standard deviation of daily returns. In other words, it measures how much Small Cap's price varies over time.
3 ways to utilize Small Cap's volatility to invest better
Higher Small Cap's fund volatility means that the price of its stock is changing rapidly and unpredictably, while lower stock volatility indicates that the price of Small Cap Equity fund is relatively stable. Investors and traders use stock volatility as an indicator of risk and potential reward, as stocks with higher volatility can offer the potential for more significant returns but also come with a greater risk of losses. Small Cap Equity fund volatility can provide helpful information for making investment decisions in the following ways:- Measuring Risk: Volatility can be used as a measure of risk, which can help you determine the potential fluctuations in the value of Small Cap Equity investment. A higher volatility means higher risk and potentially larger changes in value.
- Identifying Opportunities: High volatility in Small Cap's fund can indicate that there is potential for significant price movements, either up or down, which could present investment opportunities.
- Diversification: Understanding how the volatility of Small Cap's fund relates to your other investments can help you create a well-diversified portfolio of assets with varying levels of risk.
Small Cap Investment Opportunity
Small Cap Equity has a volatility of 1.25 and is 1.64 times more volatile than Dow Jones Industrial. 11 percent of all equities and portfolios are less risky than Small Cap. You can use Small Cap Equity to protect your portfolios against small market fluctuations. The mutual fund experiences a somewhat bearish sentiment, but the market may correct it shortly. Check odds of Small Cap to be traded at $34.68 in 90 days.Significant diversification
The correlation between Small Cap Equity and DJI is 0.06 (i.e., Significant diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Small Cap Equity and DJI in the same portfolio, assuming nothing else is changed.
Small Cap Additional Risk Indicators
The analysis of Small Cap's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Small Cap's investment and either accepting that risk or mitigating it. Along with some common measures of Small Cap mutual fund's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0636 | |||
| Market Risk Adjusted Performance | 0.8569 | |||
| Mean Deviation | 0.8725 | |||
| Semi Deviation | 0.8063 | |||
| Downside Deviation | 0.9012 | |||
| Coefficient Of Variation | 1284.13 | |||
| Standard Deviation | 1.25 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential mutual funds, we recommend comparing similar funds with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Small Cap Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Small Cap as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Small Cap's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Small Cap's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Small Cap 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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