Davenport Small Cap Fund Market Value
DSCPX Fund | USD 18.13 0.24 1.34% |
Symbol | Davenport |
Davenport Small '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 Davenport Small'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 Davenport Small.
01/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Davenport Small on January 25, 2024 and sell it all today you would earn a total of 0.00 from holding Davenport Small Cap or generate 0.0% return on investment in Davenport Small over 90 days. Under normal circumstances, at least 80 percent of the funds net assets will be invested in common stocks of small capit... More
Davenport Small 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 Davenport Small'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 Davenport Small Cap upside and downside potential and time the market with a certain degree of confidence.
Downside Deviation | 1.16 | |||
Information Ratio | (0.07) | |||
Maximum Drawdown | 4.56 | |||
Value At Risk | (1.67) | |||
Potential Upside | 1.49 |
Davenport Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Davenport Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Davenport Small's standard deviation. In reality, there are many statistical measures that can use Davenport Small historical prices to predict the future Davenport Small's volatility.Risk Adjusted Performance | 0.0167 | |||
Jensen Alpha | (0) | |||
Total Risk Alpha | (0.13) | |||
Sortino Ratio | (0.06) | |||
Treynor Ratio | 0.0626 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Davenport Small'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.
Davenport Small Cap Backtested Returns
We consider Davenport Small very steady. Davenport Small Cap secures Sharpe Ratio (or Efficiency) of 0.0208, which denotes the fund had a 0.0208% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Davenport Small Cap, which you can use to evaluate the volatility of the entity. Please confirm Davenport Small's Mean Deviation of 0.7615, coefficient of variation of 4804.43, and Downside Deviation of 1.16 to check if the risk estimate we provide is consistent with the expected return of 0.0207%. The fund shows a Beta (market volatility) of 0.17, which means not very significant fluctuations relative to the market. As returns on the market increase, Davenport Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Davenport Small is expected to be smaller as well.
Auto-correlation | -0.39 |
Poor reverse predictability
Davenport Small Cap has poor reverse predictability. Overlapping area represents the amount of predictability between Davenport Small time series from 25th of January 2024 to 10th of March 2024 and 10th of March 2024 to 24th 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 Davenport Small Cap price movement. The serial correlation of -0.39 indicates that just about 39.0% of current Davenport Small price fluctuation can be explain by its past prices.
Correlation Coefficient | -0.39 | |
Spearman Rank Test | -0.46 | |
Residual Average | 0.0 | |
Price Variance | 0.15 |
Davenport Small Cap lagged returns against current returns
Autocorrelation, which is Davenport Small 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 Davenport Small's mutual fund expected returns. We can calculate the autocorrelation of Davenport Small returns to help us make a trade decision. For example, suppose you find that Davenport Small 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 |
Davenport Small 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 Davenport Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Davenport Small mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Davenport Small mutual fund over time.
Current vs Lagged Prices |
Timeline |
Davenport Small Lagged Returns
When evaluating Davenport Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Davenport Small mutual fund have on its future price. Davenport Small 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, Davenport Small autocorrelation shows the relationship between Davenport Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Davenport Small Cap.
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 Davenport Small 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, Davenport Small's short interest history, or implied volatility extrapolated from Davenport Small options trading.
Pair Trading with Davenport Small
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Davenport Small position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Davenport Small will appreciate offsetting losses from the drop in the long position's value.Moving together with Davenport Mutual Fund
0.9 | VSMAX | Vanguard Small Cap | PairCorr |
0.9 | VSCIX | Vanguard Small Cap | PairCorr |
0.9 | VSCPX | Vanguard Small Cap | PairCorr |
0.91 | NAESX | Vanguard Small Cap | PairCorr |
0.93 | FSSNX | Fidelity Small Cap | PairCorr |
The ability to find closely correlated positions to Davenport Small could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Davenport Small when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Davenport Small - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Davenport Small Cap to buy it.
The correlation of Davenport Small is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Davenport Small moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Davenport Small Cap moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Davenport Small can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Davenport Small Correlation, Davenport Small Volatility and Davenport Small Alpha and Beta module to complement your research on Davenport Small. You can also try the FinTech Suite module to use AI to screen and filter profitable investment opportunities.
Davenport Small 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.