American Beacon Backtesting

ALVCX -- USA Fund  

USD 27.66  0.13  0.47%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of American Beacon Large Cap Value C and determine expected loss or profit from investing in American Beacon over given investment horizon. Check also American Beacon Hype Analysis, American Beacon Correlation, Portfolio Optimization, American Beacon Volatility as well as analyze American Beacon Alpha and Beta and American Beacon Performance.
Horizon     30 Days    Login   to change

American Beacon 'What if' Analysis

August 20, 2018
No Change 0.00  0.0%
In 30 days
September 19, 2018
If you would invest  0.00  in American Beacon on August 20, 2018 and sell it all today you would earn a total of 0.00 from holding American Beacon Large Cap Value C or generate 0.0% return on investment in American Beacon over 30 days. American Beacon is related to or competes with Vanguard Value, American Funds, American Funds, American Funds, American Funds, American Funds, and American Funds. The investment seeks long-term capital appreciation and current income

American Beacon Upside/Downside Indicators

Downside Deviation0.5782
Information Ratio0.034022
Maximum Drawdown1.92
Value At Risk0.57
Potential Upside0.5867

American Beacon Market Premium Indicators

Risk Adjusted Performance0.0765
Jensen Alpha0.0294
Total Risk Alpha0.029292
Sortino Ratio0.026066
Treynor Ratio0.1489

American Beacon Large Backtested Returns

We consider American Beacon not too risky. American Beacon Large secures Sharpe Ratio (or Efficiency) of 0.1435 which signifies that American Beacon Large had 0.1435% of return per unit of standard deviation over the last 1 month. Our philosophy in foreseeing volatility of a fund is to use all available market data together with fund specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for American Beacon Large Cap Value C which you can use to evaluate future volatility of the entity. Please confirm American Beacon Large Mean Deviation of 0.3368 and Risk Adjusted Performance of 0.0765 to double-check if risk estimate we provide are consistent with the epected return of 0.063%. The organization shows Beta (market volatility) of 0.516 which signifies that as returns on market increase, American Beacon returns are expected to increase less than the market. However during bear market, the loss on holding American Beacon will be expected to be smaller as well.. Although it is extremely important to respect American Beacon Large historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy in foreseeing future performance of any fund is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By analyzing American Beacon Large technical indicators you can presently evaluate if the expected return of 0.063% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.25 

Poor predictability

American Beacon Large Cap Value C has poor predictability. Overlapping area represents the amount of predictability between American Beacon time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of American Beacon Large price movement. The serial correlation of 0.25 indicates that over 25.0% of current American Beacon price fluctuation can be explain by its past prices.
Correlation Coefficient0.25
Spearman Rank Test0.44
Residual Average0.0
Price Variance0.03

American Beacon Large lagged returns against current returns

 Current and Lagged Values 

American Beacon regressed lagged prices vs. current prices

 Current vs Lagged Prices 

American Beacon Lagged Returns

 Regressed Prices 

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American Beacon Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for American Beacon and Vanguard Value Index. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also American Beacon Hype Analysis, American Beacon Correlation, Portfolio Optimization, American Beacon Volatility as well as analyze American Beacon Alpha and Beta and American Beacon Performance. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.