Perritt Ultra Microcap Fund Market Value
| PREOX Fund | USD 16.10 0.08 0.50% |
| Symbol | Perritt |
Perritt Ultra '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 Perritt Ultra'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 Perritt Ultra.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Perritt Ultra on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Perritt Ultra Microcap or generate 0.0% return on investment in Perritt Ultra over 30 days. Perritt Ultra is related to or competes with Paradigm Value, Champlain Small, Oberweis Micro, and Buffalo Emerging. The fund normally invests at least 80 percent of its net assets in the common stocks of United States companies with mar... More
Perritt Ultra 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 Perritt Ultra'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 Perritt Ultra Microcap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9093 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.32 | |||
| Value At Risk | (1.43) | |||
| Potential Upside | 1.54 |
Perritt Ultra Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Perritt Ultra's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Perritt Ultra's standard deviation. In reality, there are many statistical measures that can use Perritt Ultra historical prices to predict the future Perritt Ultra's volatility.| Risk Adjusted Performance | 0.0363 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0433 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Perritt Ultra'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.
Perritt Ultra Microcap Backtested Returns
We consider Perritt Ultra very steady. Perritt Ultra Microcap maintains Sharpe Ratio (i.e., Efficiency) of 0.0444, which implies the entity had a 0.0444% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Perritt Ultra Microcap, which you can use to evaluate the volatility of the fund. Please check Perritt Ultra's Coefficient Of Variation of 1880.21, semi deviation of 0.8392, and Risk Adjusted Performance of 0.0363 to confirm if the risk estimate we provide is consistent with the expected return of 0.0411%. The fund holds a Beta of 0.93, which implies possible diversification benefits within a given portfolio. Perritt Ultra returns are very sensitive to returns on the market. As the market goes up or down, Perritt Ultra is expected to follow.
Auto-correlation | -0.87 |
Excellent reverse predictability
Perritt Ultra Microcap has excellent reverse predictability. Overlapping area represents the amount of predictability between Perritt Ultra time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 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 Perritt Ultra Microcap price movement. The serial correlation of -0.87 indicates that approximately 87.0% of current Perritt Ultra price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.87 | |
| Spearman Rank Test | -0.88 | |
| Residual Average | 0.0 | |
| Price Variance | 0.14 |
Perritt Ultra Microcap lagged returns against current returns
Autocorrelation, which is Perritt Ultra 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 Perritt Ultra's mutual fund expected returns. We can calculate the autocorrelation of Perritt Ultra returns to help us make a trade decision. For example, suppose you find that Perritt Ultra 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 |
Perritt Ultra 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 Perritt Ultra mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Perritt Ultra mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Perritt Ultra mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Perritt Ultra Lagged Returns
When evaluating Perritt Ultra's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Perritt Ultra mutual fund have on its future price. Perritt Ultra 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, Perritt Ultra autocorrelation shows the relationship between Perritt Ultra mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Perritt Ultra Microcap.
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 Perritt Ultra Microcap 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
Align your risk with return expectations
Check out Perritt Ultra Correlation, Perritt Ultra Volatility and Perritt Ultra Alpha and Beta module to complement your research on Perritt Ultra. You can also try the Portfolio Optimization module to compute new portfolio that will generate highest expected return given your specified tolerance for risk.
Perritt Ultra 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.