Fam Small Cap Fund Market Value
| FAMDX Fund | USD 24.22 0.01 0.04% |
| Symbol | Fam |
Fam 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 Fam 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 Fam Small.
| 05/30/2022 |
| 04/19/2024 |
If you would invest 0.00 in Fam Small on May 30, 2022 and sell it all today you would earn a total of 0.00 from holding Fam Small Cap or generate 0.0% return on investment in Fam Small over 690 days. Fam Small is related to or competes with HUMANA. The investment advisor employs a value approach in making its common stock selections More
Fam 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 Fam 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 Fam Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.11 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 5.02 | |||
| Value At Risk | (1.92) | |||
| Potential Upside | 1.53 |
Fam Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Fam Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Fam Small's standard deviation. In reality, there are many statistical measures that can use Fam Small historical prices to predict the future Fam Small's volatility.| Risk Adjusted Performance | 0.0147 | |||
| Jensen Alpha | 0.0287 | |||
| Total Risk Alpha | (0.09) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.02) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Fam 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.
Fam Small Cap Backtested Returns
Fam Small Cap secures Sharpe Ratio (or Efficiency) of -0.0325, which denotes the fund had a -0.0325% return per unit of risk over the last 3 months. Fam Small Cap exposes twenty-eight different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Fam Small's Mean Deviation of 0.8249, coefficient of variation of 5897.94, and Downside Deviation of 1.11 to check the risk estimate we provide. The fund shows a Beta (market volatility) of -0.35, which means possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Fam Small are expected to decrease at a much lower rate. During the bear market, Fam Small is likely to outperform the market.
Auto-correlation | 0.46 |
Average predictability
Fam Small Cap has average predictability. Overlapping area represents the amount of predictability between Fam Small time series from 30th of May 2022 to 10th of May 2023 and 10th of May 2023 to 19th 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 Fam Small Cap price movement. The serial correlation of 0.46 indicates that about 46.0% of current Fam Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.46 | |
| Spearman Rank Test | 0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 2.05 |
Fam Small Cap lagged returns against current returns
Autocorrelation, which is Fam 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 Fam Small's mutual fund expected returns. We can calculate the autocorrelation of Fam Small returns to help us make a trade decision. For example, suppose you find that Fam 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 |
Fam 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 Fam Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Fam 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 Fam Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Fam Small Lagged Returns
When evaluating Fam Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Fam Small mutual fund have on its future price. Fam 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, Fam Small autocorrelation shows the relationship between Fam Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Fam Small Cap.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Fam Small Correlation, Fam Small Volatility and Fam Small Alpha and Beta module to complement your research on Fam Small. Note that the Fam Small Cap information on this page should be used as a complementary analysis to other Fam Small's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Portfolio Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Fam 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.