Transamerica Smallmid Cap Fund Market Value
| IIVAX Fund | USD 27.52 0.44 1.57% |
| Symbol | Transamerica |
Transamerica Smallmid '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 Transamerica Smallmid'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 Transamerica Smallmid.
| 04/02/2024 |
| 05/02/2024 |
If you would invest 0.00 in Transamerica Smallmid on April 2, 2024 and sell it all today you would earn a total of 0.00 from holding Transamerica Smallmid Cap or generate 0.0% return on investment in Transamerica Smallmid over 30 days. Transamerica Smallmid is related to or competes with Fidelity Low, John Hancock, John Hancock, Vanguard Mid, Jpmorgan Mid, and Jpmorgan Mid. The fund normally invests at least 80 percent of its net assets in small- and mid-cap equity securities More
Transamerica Smallmid 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 Transamerica Smallmid'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 Transamerica Smallmid Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9808 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.89 | |||
| Value At Risk | (1.57) | |||
| Potential Upside | 1.19 |
Transamerica Smallmid Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Transamerica Smallmid's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Transamerica Smallmid's standard deviation. In reality, there are many statistical measures that can use Transamerica Smallmid historical prices to predict the future Transamerica Smallmid's volatility.| Risk Adjusted Performance | 0.0258 | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0175 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Transamerica Smallmid'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.
Transamerica Smallmid Cap Backtested Returns
We consider Transamerica Smallmid very steady. Transamerica Smallmid Cap owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0505, which indicates the fund had a 0.0505% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Transamerica Smallmid Cap, which you can use to evaluate the volatility of the fund. Please validate Transamerica Smallmid's Risk Adjusted Performance of 0.0258, coefficient of variation of 2728.43, and Semi Deviation of 0.9115 to confirm if the risk estimate we provide is consistent with the expected return of 0.0412%. The entity has a beta of 1.18, which indicates 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, Transamerica Smallmid will likely underperform.
Auto-correlation | -0.4 |
Poor reverse predictability
Transamerica Smallmid Cap has poor reverse predictability. Overlapping area represents the amount of predictability between Transamerica Smallmid time series from 2nd of April 2024 to 17th of April 2024 and 17th of April 2024 to 2nd 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 Transamerica Smallmid Cap price movement. The serial correlation of -0.4 indicates that just about 40.0% of current Transamerica Smallmid price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.4 | |
| Spearman Rank Test | -0.74 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Transamerica Smallmid Cap lagged returns against current returns
Autocorrelation, which is Transamerica Smallmid 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 Transamerica Smallmid's mutual fund expected returns. We can calculate the autocorrelation of Transamerica Smallmid returns to help us make a trade decision. For example, suppose you find that Transamerica Smallmid 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 |
Transamerica Smallmid 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 Transamerica Smallmid mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Transamerica Smallmid mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Transamerica Smallmid mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Transamerica Smallmid Lagged Returns
When evaluating Transamerica Smallmid's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Transamerica Smallmid mutual fund have on its future price. Transamerica Smallmid 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, Transamerica Smallmid autocorrelation shows the relationship between Transamerica Smallmid mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Transamerica Smallmid Cap.
Regressed Prices |
| Timeline |
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Try AI Portfolio ArchitectCheck out Transamerica Smallmid Correlation, Transamerica Smallmid Volatility and Transamerica Smallmid Alpha and Beta module to complement your research on Transamerica Smallmid. Note that the Transamerica Smallmid Cap information on this page should be used as a complementary analysis to other Transamerica Smallmid'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 Portfolio Rebalancing module to analyze risk-adjusted returns against different time horizons to find asset-allocation targets.
Transamerica Smallmid 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.