Pzena Small Cap Fund Market Value
| PZISX Fund | USD 16.25 0.16 0.99% |
| Symbol | Pzena |
Pzena 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 Pzena 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 Pzena Small.
| 11/14/2024 |
| 12/14/2024 |
If you would invest 0.00 in Pzena Small on November 14, 2024 and sell it all today you would earn a total of 0.00 from holding Pzena Small Cap or generate 0.0% return on investment in Pzena Small over 30 days. Pzena Small is related to or competes with Pzena International, Pzena Emerging, Pzena International, Pzena Mid, Pzena International, Pzena Emerging, and Pzena Small. Under normal market conditions, the fund invests at least 80 percent of its net assets in stocks of small-cap companies More
Pzena 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 Pzena 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 Pzena Small Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.03 | |||
| Information Ratio | 0.0668 | |||
| Maximum Drawdown | 8.63 | |||
| Value At Risk | (1.53) | |||
| Potential Upside | 2.16 |
Pzena Small Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Pzena Small's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Pzena Small's standard deviation. In reality, there are many statistical measures that can use Pzena Small historical prices to predict the future Pzena Small's volatility.| Risk Adjusted Performance | 0.1049 | |||
| Jensen Alpha | 0.1524 | |||
| Total Risk Alpha | 0.0094 | |||
| Sortino Ratio | 0.0907 | |||
| Treynor Ratio | 0.526 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Pzena 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.
Pzena Small Cap Backtested Returns
At this stage we consider Pzena Mutual Fund to be very steady. Pzena Small Cap maintains Sharpe Ratio (i.e., Efficiency) of 0.1, which implies the entity had a 0.1% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Pzena Small Cap, which you can use to evaluate the volatility of the fund. Please check Pzena Small's Coefficient Of Variation of 724.37, risk adjusted performance of 0.1049, and Semi Deviation of 0.8603 to confirm if the risk estimate we provide is consistent with the expected return of 0.14%. The fund holds a Beta of 0.35, which implies possible diversification benefits within a given portfolio. As returns on the market increase, Pzena Small's returns are expected to increase less than the market. However, during the bear market, the loss of holding Pzena Small is expected to be smaller as well.
Auto-correlation | -0.65 |
Very good reverse predictability
Pzena Small Cap has very good reverse predictability. Overlapping area represents the amount of predictability between Pzena Small time series from 14th of November 2024 to 29th of November 2024 and 29th of November 2024 to 14th of December 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 Pzena Small Cap price movement. The serial correlation of -0.65 indicates that roughly 65.0% of current Pzena Small price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.65 | |
| Spearman Rank Test | -0.55 | |
| Residual Average | 0.0 | |
| Price Variance | 0.02 |
Pzena Small Cap lagged returns against current returns
Autocorrelation, which is Pzena 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 Pzena Small's mutual fund expected returns. We can calculate the autocorrelation of Pzena Small returns to help us make a trade decision. For example, suppose you find that Pzena 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 |
Pzena 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 Pzena Small mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Pzena 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 Pzena Small mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Pzena Small Lagged Returns
When evaluating Pzena Small's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Pzena Small mutual fund have on its future price. Pzena 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, Pzena Small autocorrelation shows the relationship between Pzena Small mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Pzena Small Cap.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Pzena Mutual Fund
Pzena Small financial ratios help investors to determine whether Pzena Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Pzena with respect to the benefits of owning Pzena Small security.
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