Astor Longshort Fund Market Value
| ASTZX Fund | USD 12.11 0.07 0.58% |
| Symbol | Astor |
Astor Longshort '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 Astor Longshort'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 Astor Longshort.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Astor Longshort on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Astor Longshort Fund or generate 0.0% return on investment in Astor Longshort over 30 days. Astor Longshort is related to or competes with Pimco All, Pimco All, and Pimco All. The fund invests predominantly in exchange-traded funds that each invest primarily in domestic or foreign equity securit... More
Astor Longshort 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 Astor Longshort'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 Astor Longshort Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4108 | |||
| Information Ratio | (0.18) | |||
| Maximum Drawdown | 1.73 | |||
| Value At Risk | (0.67) | |||
| Potential Upside | 0.5814 |
Astor Longshort Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Astor Longshort's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Astor Longshort's standard deviation. In reality, there are many statistical measures that can use Astor Longshort historical prices to predict the future Astor Longshort's volatility.| Risk Adjusted Performance | 0.0458 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.16) | |||
| Treynor Ratio | 0.0383 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Astor Longshort'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.
Astor Longshort Backtested Returns
We consider Astor Longshort very steady. Astor Longshort secures Sharpe Ratio (or Efficiency) of 0.0622, which signifies that the fund had a 0.0622% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Astor Longshort Fund, which you can use to evaluate the volatility of the entity. Please confirm Astor Longshort's Downside Deviation of 0.4108, risk adjusted performance of 0.0458, and Mean Deviation of 0.2888 to double-check if the risk estimate we provide is consistent with the expected return of 0.0231%. The fund shows a Beta (market volatility) of 0.55, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Astor Longshort's returns are expected to increase less than the market. However, during the bear market, the loss of holding Astor Longshort is expected to be smaller as well.
Auto-correlation | 0.41 |
Average predictability
Astor Longshort Fund has average predictability. Overlapping area represents the amount of predictability between Astor Longshort time series from 25th of March 2024 to 9th of April 2024 and 9th of April 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 Astor Longshort price movement. The serial correlation of 0.41 indicates that just about 41.0% of current Astor Longshort price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.41 | |
| Spearman Rank Test | 0.12 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Astor Longshort lagged returns against current returns
Autocorrelation, which is Astor Longshort 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 Astor Longshort's mutual fund expected returns. We can calculate the autocorrelation of Astor Longshort returns to help us make a trade decision. For example, suppose you find that Astor Longshort 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 |
Astor Longshort 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 Astor Longshort mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Astor Longshort mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Astor Longshort mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Astor Longshort Lagged Returns
When evaluating Astor Longshort's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Astor Longshort mutual fund have on its future price. Astor Longshort 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, Astor Longshort autocorrelation shows the relationship between Astor Longshort mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Astor Longshort Fund.
Regressed Prices |
| Timeline |
Pair Trading with Astor Longshort
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 Astor Longshort 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 Astor Longshort will appreciate offsetting losses from the drop in the long position's value.Moving together with Astor Mutual Fund
| 0.95 | ASTIX | Astor Longshort | PairCorr |
| 0.91 | PAALX | All Asset Fund | PairCorr |
| 0.9 | PATRX | Pimco All Asset | PairCorr |
| 0.91 | PAAIX | All Asset Fund | PairCorr |
| 0.91 | PALPX | Pimco All Asset | PairCorr |
The ability to find closely correlated positions to Astor Longshort could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Astor Longshort 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 Astor Longshort - 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 Astor Longshort Fund to buy it.
The correlation of Astor Longshort 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 Astor Longshort moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Astor Longshort 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 Astor Longshort 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 Astor Longshort Correlation, Astor Longshort Volatility and Astor Longshort Alpha and Beta module to complement your research on Astor Longshort. Note that the Astor Longshort information on this page should be used as a complementary analysis to other Astor Longshort'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 Volatility module to check portfolio volatility and analyze historical return density to properly model market risk.
Astor Longshort 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.