Royce Small Cap Value Fund Market Value
| RYVFX Fund | USD 10.11 0.04 0.39% |
| Symbol | Royce |
Royce Small-cap '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 Small-cap'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 Small-cap.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Royce Small-cap on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Royce Small Cap Value or generate 0.0% return on investment in Royce Small-cap over 30 days. Royce Small-cap is related to or competes with Vanguard Small, and Vanguard Small-cap. The funds investment adviser invests the funds assets primarily in equity securities of small-cap companies that the adv... More
Royce Small-cap 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 Small-cap'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 Small Cap Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.24 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 5.62 | |||
| Value At Risk | (1.75) | |||
| Potential Upside | 1.96 |
Royce Small-cap Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Royce Small-cap's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Royce Small-cap's standard deviation. In reality, there are many statistical measures that can use Royce Small-cap historical prices to predict the future Royce Small-cap's volatility.| Risk Adjusted Performance | 0.0367 | |||
| Jensen Alpha | (0.08) | |||
| Total Risk Alpha | (0.11) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0332 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Royce Small-cap'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 Small Cap Backtested Returns
We consider Royce Small-cap not too volatile. Royce Small Cap maintains Sharpe Ratio (i.e., Efficiency) of 0.0235, which implies the entity had a 0.0235% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Royce Small Cap, which you can use to evaluate the volatility of the fund. Please check Royce Small-cap's Semi Deviation of 1.17, risk adjusted performance of 0.0367, and Coefficient Of Variation of 1944.57 to confirm if the risk estimate we provide is consistent with the expected return of 0.0271%. The fund holds a Beta of 1.5, 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 Small-cap will likely underperform.
Auto-correlation | 0.08 |
Virtually no predictability
Royce Small Cap Value has virtually no predictability. Overlapping area represents the amount of predictability between Royce Small-cap time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Small Cap price movement. The serial correlation of 0.08 indicates that barely 8.0% of current Royce Small-cap price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.08 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.03 |
Royce Small Cap lagged returns against current returns
Autocorrelation, which is Royce Small-cap 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 Small-cap's mutual fund expected returns. We can calculate the autocorrelation of Royce Small-cap returns to help us make a trade decision. For example, suppose you find that Royce Small-cap 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 Small-cap 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 Small-cap mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Royce Small-cap 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 Small-cap mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Royce Small-cap Lagged Returns
When evaluating Royce Small-cap's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Royce Small-cap mutual fund have on its future price. Royce Small-cap 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 Small-cap autocorrelation shows the relationship between Royce Small-cap mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Royce Small Cap Value.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
Check out Royce Small-cap Correlation, Royce Small-cap Volatility and Royce Small-cap Alpha and Beta module to complement your research on Royce Small-cap. Note that the Royce Small Cap information on this page should be used as a complementary analysis to other Royce Small-cap'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 USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Royce Small-cap 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.