Siit Small Cap Fund Market Value
| SECAX Fund | USD 10.79 0.12 1.10% |
| Symbol | Siit |
Siit 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 Siit 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 Siit Small.
| 04/22/2023 |
| 04/16/2024 |
If you would invest 0.00 in Siit Small on April 22, 2023 and sell it all today you would earn a total of 0.00 from holding Siit Small Cap or generate 0.0% return on investment in Siit Small over 360 days. Siit Small is related to or competes with T Rowe, Jhancock Disciplined, Transamerica Large, American Mutual, Qs Us, and Dunham Large. The fund will invest at least 80 percent of its net assets in equity securities of small companies, ETFs based on small ... More
Siit 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 Siit 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 Siit Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.24 | |||
| Information Ratio | 0.0183 | |||
| Maximum Drawdown | 5.11 | |||
| Value At Risk | (1.80) | |||
| Potential Upside | 1.81 |
Siit Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Siit Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Siit Small's standard deviation. In reality, there are many statistical measures that can use Siit Small historical prices to predict the future Siit Small's volatility.| Risk Adjusted Performance | 0.0514 | |||
| Jensen Alpha | 0.0702 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.0163 | |||
| Treynor Ratio | 1.44 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Siit 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.
Siit Small Cap Backtested Returns
We consider Siit Small very steady. Siit Small Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0751, which indicates the fund had a 0.0751% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Siit Small Cap, which you can use to evaluate the volatility of the fund. Please validate Siit Small's Coefficient Of Variation of 1331.58, risk adjusted performance of 0.0514, and Semi Deviation of 1.14 to confirm if the risk estimate we provide is consistent with the expected return of 0.0829%. The entity has a beta of 0.0508, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Siit Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Siit Small is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
Siit Small Cap has average predictability. Overlapping area represents the amount of predictability between Siit Small time series from 22nd of April 2023 to 19th of October 2023 and 19th of October 2023 to 16th 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 Siit Small Cap price movement. The serial correlation of 0.47 indicates that about 47.0% of current Siit Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.33 | |
| Residual Average | 0.0 | |
| Price Variance | 0.5 |
Siit Small Cap lagged returns against current returns
Autocorrelation, which is Siit 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 Siit Small's mutual fund expected returns. We can calculate the autocorrelation of Siit Small returns to help us make a trade decision. For example, suppose you find that Siit 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 |
Siit 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 Siit Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Siit 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 Siit Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Siit Small Lagged Returns
When evaluating Siit Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Siit Small mutual fund have on its future price. Siit 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, Siit Small autocorrelation shows the relationship between Siit Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Siit 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 Siit 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, Siit Small's short interest history, or implied volatility extrapolated from Siit Small options trading.
Currently Active Assets on Macroaxis
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| CRO | Cronos |
Check out Siit Small Correlation, Siit Small Volatility and Siit Small Alpha and Beta module to complement your research on Siit Small. Note that the Siit Small Cap information on this page should be used as a complementary analysis to other Siit 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 Idea Breakdown module to analyze constituents of all Macroaxis ideas. Macroaxis investment ideas are predefined, sector-focused investing themes.
Siit 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.