Royce Micro Cap Fund Market Value
| RMCFX Fund | USD 10.38 0.04 0.38% |
| Symbol | Royce |
Royce Micro '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 Royce Micro'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 Royce Micro.
| 07/22/2023 |
| 04/17/2024 |
If you would invest 0.00 in Royce Micro on July 22, 2023 and sell it all today you would earn a total of 0.00 from holding Royce Micro Cap Fund or generate 0.0% return on investment in Royce Micro over 270 days. Royce Micro is related to or competes with T Rowe, Strategic Allocation:, Real Estate, High Yield, and Strategic Allocation:. The fund invests the funds assets primarily in equity securities of micro-cap companies More
Royce Micro 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 Royce Micro'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 Royce Micro Cap Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.34 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 6.53 | |||
| Value At Risk | (1.86) | |||
| Potential Upside | 2.06 |
Royce Micro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Royce Micro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Royce Micro's standard deviation. In reality, there are many statistical measures that can use Royce Micro historical prices to predict the future Royce Micro's volatility.| Risk Adjusted Performance | 0.025 | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | 0.0187 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Royce Micro'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.
Royce Micro Cap Backtested Returns
We consider Royce Micro not too volatile. Royce Micro Cap maintains Sharpe Ratio (i.e., Efficiency) of 0.0433, which implies the entity had a 0.0433% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Royce Micro Cap, which you can use to evaluate the volatility of the fund. Please check Royce Micro's Coefficient Of Variation of 3166.88, risk adjusted performance of 0.025, and Semi Deviation of 1.22 to confirm if the risk estimate we provide is consistent with the expected return of 0.0566%. The fund holds a Beta of 1.63, which implies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Royce Micro will likely underperform.
Auto-correlation | -0.64 |
Very good reverse predictability
Royce Micro Cap Fund has very good reverse predictability. Overlapping area represents the amount of predictability between Royce Micro time series from 22nd of July 2023 to 4th of December 2023 and 4th of December 2023 to 17th 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 Royce Micro Cap price movement. The serial correlation of -0.64 indicates that roughly 64.0% of current Royce Micro price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.64 | |
| Spearman Rank Test | -0.53 | |
| Residual Average | 0.0 | |
| Price Variance | 0.11 |
Royce Micro Cap lagged returns against current returns
Autocorrelation, which is Royce Micro 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 Royce Micro's mutual fund expected returns. We can calculate the autocorrelation of Royce Micro returns to help us make a trade decision. For example, suppose you find that Royce Micro 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 |
Royce Micro 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 Royce Micro mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Royce Micro mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Royce Micro mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Royce Micro Lagged Returns
When evaluating Royce Micro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Royce Micro mutual fund have on its future price. Royce Micro 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, Royce Micro autocorrelation shows the relationship between Royce Micro mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Royce Micro Cap Fund.
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 Royce Micro 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, Royce Micro's short interest history, or implied volatility extrapolated from Royce Micro options trading.
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Check out Royce Micro Correlation, Royce Micro Volatility and Royce Micro Alpha and Beta module to complement your research on Royce Micro. Note that the Royce Micro Cap information on this page should be used as a complementary analysis to other Royce Micro'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 Sectors module to list of equity sectors categorizing publicly traded companies based on their primary business activities.
Royce Micro 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.