The Arbitrage Event Driven Fund Market Value
| AGEAX Fund | USD 11.30 0.02 0.18% |
| Symbol | The |
The Arbitrage '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 The Arbitrage'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 The Arbitrage.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in The Arbitrage on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding The Arbitrage Event Driven or generate 0.0% return on investment in The Arbitrage over 30 days. The Arbitrage is related to or competes with The Merger, Vivaldi Merger, Vivaldi Merger, Arbitrage Fund, and Arbitrage Fund. The fund invests in equity and debt and debt-like instruments of companies whose prices the funds investment adviser bel... More
The Arbitrage 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 The Arbitrage'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 The Arbitrage Event Driven upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.67) | |||
| Maximum Drawdown | 0.8749 | |||
| Value At Risk | (0.35) | |||
| Potential Upside | 0.2627 |
The Arbitrage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for The Arbitrage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as The Arbitrage's standard deviation. In reality, there are many statistical measures that can use The Arbitrage historical prices to predict the future The Arbitrage's volatility.| Risk Adjusted Performance | (0.11) | |||
| Jensen Alpha | (0.05) | |||
| Total Risk Alpha | (0.06) | |||
| Treynor Ratio | (0.22) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of The Arbitrage'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.
Arbitrage Event Backtested Returns
Arbitrage Event owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.13, which indicates the fund had a -0.13% return per unit of risk over the last 3 months. The Arbitrage Event Driven exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate The Arbitrage's Variance of 0.0321, risk adjusted performance of (0.11), and Coefficient Of Variation of (753.00) to confirm the risk estimate we provide. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, the Arbitrage's returns are expected to increase less than the market. However, during the bear market, the loss of holding the Arbitrage is expected to be smaller as well.
Auto-correlation | 0.19 |
Very weak predictability
The Arbitrage Event Driven has very weak predictability. Overlapping area represents the amount of predictability between The Arbitrage time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th 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 Arbitrage Event price movement. The serial correlation of 0.19 indicates that over 19.0% of current The Arbitrage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.19 | |
| Spearman Rank Test | 0.51 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Arbitrage Event lagged returns against current returns
Autocorrelation, which is The Arbitrage 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 The Arbitrage's mutual fund expected returns. We can calculate the autocorrelation of The Arbitrage returns to help us make a trade decision. For example, suppose you find that The Arbitrage 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 |
The Arbitrage 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 The Arbitrage mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if The Arbitrage mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in The Arbitrage mutual fund over time.
Current vs Lagged Prices |
| Timeline |
The Arbitrage Lagged Returns
When evaluating The Arbitrage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of The Arbitrage mutual fund have on its future price. The Arbitrage 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, The Arbitrage autocorrelation shows the relationship between The Arbitrage mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Arbitrage Event Driven.
Regressed Prices |
| Timeline |
Pair Trading with The Arbitrage
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 The Arbitrage 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 The Arbitrage will appreciate offsetting losses from the drop in the long position's value.Moving together with The Mutual Fund
| 0.73 | ARBNX | Arbitrage Fund | PairCorr |
| 0.74 | ARBFX | Arbitrage Fund | PairCorr |
| 0.8 | ARBCX | Arbitrage Fund | PairCorr |
| 0.75 | ARGAX | Arbitrage Fund | PairCorr |
| 1.0 | AEDFX | Arbitrage Event | PairCorr |
The ability to find closely correlated positions to The Arbitrage could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace The Arbitrage 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 The Arbitrage - 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 The Arbitrage Event Driven to buy it.
The correlation of The Arbitrage 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 The Arbitrage moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Arbitrage Event 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 The Arbitrage 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 The Arbitrage Correlation, The Arbitrage Volatility and The Arbitrage Alpha and Beta module to complement your research on The Arbitrage. Note that the Arbitrage Event information on this page should be used as a complementary analysis to other The Arbitrage'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 Sign In To Macroaxis module to sign in to explore Macroaxis' wealth optimization platform and fintech modules.
The Arbitrage 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.