Wasatch Micro Cap Fund Market Value
| WMICX Fund | USD 8.85 0.06 0.68% |
| Symbol | Wasatch |
Wasatch Micro '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 Wasatch Micro'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 Wasatch Micro.
| 12/12/2022 |
| 12/01/2024 |
If you would invest 0.00 in Wasatch Micro on December 12, 2022 and sell it all today you would earn a total of 0.00 from holding Wasatch Micro Cap or generate 0.0% return on investment in Wasatch Micro over 720 days. Wasatch Micro is related to or competes with Wasatch Small, Wasatch Ultra, Wasatch Core, Wasatch Small, and Wasatch Micro. The fund invests at least 80 percent of the funds net assets in the equity securities, typically common stock, of micro-... More
Wasatch Micro 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 Wasatch Micro'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 Wasatch Micro Cap upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | 0.0353 | |||
| Maximum Drawdown | 7.89 | |||
| Value At Risk | (1.98) | |||
| Potential Upside | 2.08 |
Wasatch Micro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wasatch Micro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wasatch Micro's standard deviation. In reality, there are many statistical measures that can use Wasatch Micro historical prices to predict the future Wasatch Micro's volatility.| Risk Adjusted Performance | 0.1056 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | 0.0372 | |||
| Treynor Ratio | 0.1125 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wasatch Micro'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.
Wasatch Micro Cap Backtested Returns
Wasatch Micro appears to be not too volatile, given 3 months investment horizon. Wasatch Micro Cap shows Sharpe Ratio of 0.17, which attests that the fund had a 0.17% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Wasatch Micro Cap, which you can use to evaluate the volatility of the fund. Please utilize Wasatch Micro's Market Risk Adjusted Performance of 0.1225, downside deviation of 1.35, and Mean Deviation of 1.05 to validate if our risk estimates are consistent with your expectations. The entity maintains a market beta of 1.58, which attests to 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, Wasatch Micro will likely underperform.
Auto-correlation | 0.10 |
Insignificant predictability
Wasatch Micro Cap has insignificant predictability. Overlapping area represents the amount of predictability between Wasatch Micro time series from 12th of December 2022 to 7th of December 2023 and 7th of December 2023 to 1st 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 Wasatch Micro Cap price movement. The serial correlation of 0.1 indicates that less than 10.0% of current Wasatch Micro price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.1 | |
| Spearman Rank Test | 0.13 | |
| Residual Average | 0.0 | |
| Price Variance | 0.31 |
Wasatch Micro Cap lagged returns against current returns
Autocorrelation, which is Wasatch Micro 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 Wasatch Micro's mutual fund expected returns. We can calculate the autocorrelation of Wasatch Micro returns to help us make a trade decision. For example, suppose you find that Wasatch Micro 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 |
Wasatch Micro 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 Wasatch Micro mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wasatch Micro mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wasatch Micro mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Wasatch Micro Lagged Returns
When evaluating Wasatch Micro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wasatch Micro mutual fund have on its future price. Wasatch Micro 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, Wasatch Micro autocorrelation shows the relationship between Wasatch Micro mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Wasatch Micro 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 Wasatch Mutual Fund
Wasatch Micro financial ratios help investors to determine whether Wasatch 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 Wasatch with respect to the benefits of owning Wasatch Micro security.
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