Ab Small Cap Fund Market Value
| QUASX Fund | USD 56.07 0.81 1.47% |
| Symbol | QUASX |
Ab 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 Ab 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 Ab Small.
| 04/05/2024 |
| 05/05/2024 |
If you would invest 0.00 in Ab Small on April 5, 2024 and sell it all today you would earn a total of 0.00 from holding Ab Small Cap or generate 0.0% return on investment in Ab Small over 30 days. Ab Small is related to or competes with Ab Large, Ab Growth, Ab Discovery, Ab Sustainable, and Ab Relative. The fund invests primarily in a diversified portfolio of equities with relatively smaller capitalizations as compared to... More
Ab 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 Ab 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 Ab Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.39 | |||
| Information Ratio | 0.0026 | |||
| Maximum Drawdown | 5.02 | |||
| Value At Risk | (1.93) | |||
| Potential Upside | 2.19 |
Ab Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ab Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ab Small's standard deviation. In reality, there are many statistical measures that can use Ab Small historical prices to predict the future Ab Small's volatility.| Risk Adjusted Performance | 0.0462 | |||
| Jensen Alpha | 0.0605 | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | 0.0024 | |||
| Treynor Ratio | 0.4112 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ab 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.
Ab Small Cap Backtested Returns
We consider Ab Small very steady. Ab Small Cap retains Efficiency (Sharpe Ratio) of 0.0652, which signifies that the fund had a 0.0652% return per unit of price deviation over the last 3 months. We have found twenty-seven technical indicators for Ab Small, which you can use to evaluate the volatility of the entity. Please confirm Ab Small's Standard Deviation of 1.27, market risk adjusted performance of 0.4212, and Coefficient Of Variation of 1534.6 to double-check if the risk estimate we provide is consistent with the expected return of 0.0827%. The fund owns a Beta (Systematic Risk) of 0.18, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Ab Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Ab Small is expected to be smaller as well.
Auto-correlation | -0.58 |
Good reverse predictability
Ab Small Cap has good reverse predictability. Overlapping area represents the amount of predictability between Ab Small time series from 5th of April 2024 to 20th of April 2024 and 20th of April 2024 to 5th of May 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 Ab Small Cap price movement. The serial correlation of -0.58 indicates that roughly 58.0% of current Ab Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.58 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.45 |
Ab Small Cap lagged returns against current returns
Autocorrelation, which is Ab 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 Ab Small's mutual fund expected returns. We can calculate the autocorrelation of Ab Small returns to help us make a trade decision. For example, suppose you find that Ab 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 |
Ab 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 Ab Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ab 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 Ab Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ab Small Lagged Returns
When evaluating Ab Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ab Small mutual fund have on its future price. Ab 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, Ab Small autocorrelation shows the relationship between Ab Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ab Small Cap.
Regressed Prices |
| Timeline |
Becoming a Better Investor with Macroaxis
Macroaxis puts the power of mathematics on your side. We analyze your portfolios and positions such as Ab Small Cap using complex mathematical models and algorithms, but make them easy to understand. There is no real person involved in your portfolio analysis. We perform a number of calculations to compute absolute and relative portfolio volatility, correlation between your assets, value at risk, expected return as well as over 100 different fundamental and technical indicators.Build Optimal Portfolios
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Check out Ab Small Correlation, Ab Small Volatility and Ab Small Alpha and Beta module to complement your research on Ab Small. You can also try the Technical Analysis module to check basic technical indicators and analysis based on most latest market data.
Ab 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.