Lord Abbett Alpha Fund Market Value
| ALFAX Fund | USD 23.04 0.06 0.26% |
| Symbol | Lord |
Lord Abbett '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 Lord Abbett'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 Lord Abbett.
| 06/28/2023 |
| 04/23/2024 |
If you would invest 0.00 in Lord Abbett on June 28, 2023 and sell it all today you would earn a total of 0.00 from holding Lord Abbett Alpha or generate 0.0% return on investment in Lord Abbett over 300 days. Lord Abbett is related to or competes with Lord Abbett, Lord Abbett, Lord Abbett, Floating Rate, Floating Rate, Floating Rate, and Lord Abbett. The fund is a fund of funds that invests in affiliated mutual funds managed by Lord Abbett More
Lord Abbett 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 Lord Abbett'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 Lord Abbett Alpha upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.01 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 4.32 | |||
| Value At Risk | (1.59) | |||
| Potential Upside | 1.41 |
Lord Abbett Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lord Abbett's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lord Abbett's standard deviation. In reality, there are many statistical measures that can use Lord Abbett historical prices to predict the future Lord Abbett's volatility.| Risk Adjusted Performance | 0.0386 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0322 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lord Abbett'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.
Lord Abbett Alpha Backtested Returns
We consider Lord Abbett very steady. Lord Abbett Alpha has Sharpe Ratio of 0.0188, which conveys that the entity had a 0.0188% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Lord Abbett, which you can use to evaluate the volatility of the fund. Please verify Lord Abbett's Risk Adjusted Performance of 0.0386, downside deviation of 1.01, and Mean Deviation of 0.7752 to check out if the risk estimate we provide is consistent with the expected return of 0.0178%. The fund secures a Beta (Market Risk) of 1.39, which conveys 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, Lord Abbett will likely underperform.
Auto-correlation | -0.77 |
Almost perfect reverse predictability
Lord Abbett Alpha has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Lord Abbett time series from 28th of June 2023 to 25th of November 2023 and 25th of November 2023 to 23rd 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 Lord Abbett Alpha price movement. The serial correlation of -0.77 indicates that around 77.0% of current Lord Abbett price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.77 | |
| Spearman Rank Test | -0.66 | |
| Residual Average | 0.0 | |
| Price Variance | 0.88 |
Lord Abbett Alpha lagged returns against current returns
Autocorrelation, which is Lord Abbett 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 Lord Abbett's mutual fund expected returns. We can calculate the autocorrelation of Lord Abbett returns to help us make a trade decision. For example, suppose you find that Lord Abbett 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 |
Lord Abbett 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 Lord Abbett mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lord Abbett mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lord Abbett mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Lord Abbett Lagged Returns
When evaluating Lord Abbett's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lord Abbett mutual fund have on its future price. Lord Abbett 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, Lord Abbett autocorrelation shows the relationship between Lord Abbett mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Lord Abbett Alpha.
Regressed Prices |
| Timeline |
Pair Trading with Lord Abbett
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 Lord Abbett 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 Lord Abbett will appreciate offsetting losses from the drop in the long position's value.Moving together with Lord Mutual Fund
| 0.95 | LGCOX | Lord Abbett Global | PairCorr |
| 0.93 | LGLFX | Lord Abbett Growth | PairCorr |
| 0.93 | LGLOX | Lord Abbett Growth | PairCorr |
| 0.93 | LGLSX | L Abbett Growth | PairCorr |
| 0.87 | LHCCX | Lord Abbett Health | PairCorr |
The ability to find closely correlated positions to Lord Abbett could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Lord Abbett 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 Lord Abbett - 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 Lord Abbett Alpha to buy it.
The correlation of Lord Abbett 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 Lord Abbett moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Lord Abbett Alpha 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 Lord Abbett 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 Lord Abbett Correlation, Lord Abbett Volatility and Lord Abbett Alpha and Beta module to complement your research on Lord Abbett. Note that the Lord Abbett Alpha information on this page should be used as a complementary analysis to other Lord Abbett'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 Manager module to state of the art Portfolio Manager to monitor and improve performance of your invested capital.
Lord Abbett 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.