Ab Value Fund Market Value
| ABVCX Fund | USD 17.68 0.11 0.63% |
| Symbol | ABVCX |
Ab Value '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 Ab Value'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 Ab Value.
| 01/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Ab Value on January 25, 2024 and sell it all today you would earn a total of 0.00 from holding Ab Value Fund or generate 0.0% return on investment in Ab Value over 90 days. Ab Value is related to or competes with Ab Global, Ab Global, Ab Global, Ab Minnesota, Ab Minnesota, Ab All, and Ab All. The fund invests primarily in a diversified portfolio of equity securities of U.S More
Ab Value 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 Ab Value'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 Ab Value Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6818 | |||
| Information Ratio | 0.0379 | |||
| Maximum Drawdown | 3.07 | |||
| Value At Risk | (1.12) | |||
| Potential Upside | 0.9725 |
Ab Value Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ab Value's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ab Value's standard deviation. In reality, there are many statistical measures that can use Ab Value historical prices to predict the future Ab Value's volatility.| Risk Adjusted Performance | 0.1072 | |||
| Jensen Alpha | 0.0235 | |||
| Total Risk Alpha | 0.0193 | |||
| Sortino Ratio | 0.0367 | |||
| Treynor Ratio | 0.1024 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ab Value'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.
Ab Value Fund Backtested Returns
We consider Ab Value very steady. Ab Value Fund retains Efficiency (Sharpe Ratio) of 0.13, which signifies that the fund had a 0.13% return per unit of price deviation over the last 3 months. We have found twenty-seven technical indicators for Ab Value, which you can use to evaluate the volatility of the entity. Please confirm Ab Value's Coefficient Of Variation of 577.91, market risk adjusted performance of 0.1124, and Standard Deviation of 0.6601 to double-check if the risk estimate we provide is consistent with the expected return of 0.0894%. The fund owns a Beta (Systematic Risk) of 1.02, which signifies a somewhat significant risk relative to the market. Ab Value returns are very sensitive to returns on the market. As the market goes up or down, Ab Value is expected to follow.
Auto-correlation | -0.6 |
Good reverse predictability
Ab Value Fund has good reverse predictability. Overlapping area represents the amount of predictability between Ab Value time series from 25th of January 2024 to 10th of March 2024 and 10th of March 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 Ab Value Fund price movement. The serial correlation of -0.6 indicates that roughly 60.0% of current Ab Value price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.6 | |
| Spearman Rank Test | -0.17 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Ab Value Fund lagged returns against current returns
Autocorrelation, which is Ab Value 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 Ab Value's mutual fund expected returns. We can calculate the autocorrelation of Ab Value returns to help us make a trade decision. For example, suppose you find that Ab Value 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 |
Ab Value 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 Ab Value mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ab Value mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ab Value mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ab Value Lagged Returns
When evaluating Ab Value's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ab Value mutual fund have on its future price. Ab Value 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, Ab Value autocorrelation shows the relationship between Ab Value mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ab Value Fund.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Ab Value in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Ab Value's short interest history, or implied volatility extrapolated from Ab Value options trading.
Pair Trading with Ab Value
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Ab Value position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Ab Value will appreciate offsetting losses from the drop in the long position's value.Moving together with ABVCX Mutual Fund
| 0.97 | GCEAX | Ab Global E | PairCorr |
| 0.96 | GCECX | Ab Global E | PairCorr |
| 0.97 | GCEYX | Ab Global E | PairCorr |
The ability to find closely correlated positions to Ab Value could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ab Value when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Ab Value - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling Ab Value Fund to buy it.
The correlation of Ab Value is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Ab Value moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ab Value Fund moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Ab Value can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Ab Value Correlation, Ab Value Volatility and Ab Value Alpha and Beta module to complement your research on Ab Value. Note that the Ab Value Fund information on this page should be used as a complementary analysis to other Ab Value'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 Performance Analysis module to check effects of mean-variance optimization against your current asset allocation.
Ab Value 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.