Merger Fund Backtesting

MERFX -- USA Fund  

USD 17.30  0.01  0.06%

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

Merger Fund 'What if' Analysis

September 12, 2019
No Change 0.00  0.0 
In 3 months and 1 day
December 11, 2019
If you would invest  0.00  in Merger Fund on September 12, 2019 and sell it all today you would earn a total of 0.00 from holding Merger Fund or generate 0.0% return on investment in Merger Fund over 90 days. Merger Fund is related to or competes with Calamos Market, Calamos Market, Calamos Market, BlackRock Large, BlackRock Large, PIMCO RAE, and PIMCO RAE. The investment seeks capital growth by engaging in merger arbitrage

Merger Fund Upside/Downside Indicators

Downside Deviation0.0936
Information Ratio(0.61)
Maximum Drawdown0.3472
Value At Risk(0.12)
Potential Upside0.1168

Merger Fund Market Premium Indicators

Risk Adjusted Performance0.081
Jensen Alpha0.0065
Total Risk Alpha0.0026
Sortino Ratio(0.42)
Treynor Ratio0.3251

Merger Fund Backtested Returns

We consider Merger Fund very steady. Merger Fund has Sharpe Ratio of 0.2726 which conveys that the entity had 0.2726% of return per unit of risk over the last 3 months. Our philosophy towards estimating 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 technical indicators for Merger Fund which you can use to evaluate future volatility of the organization. Please verify Merger Fund Risk Adjusted Performance of 0.081, Coefficient Of Variation of 369.74 and Mean Deviation of 0.049 to check out if risk estimate we provide are consistent with the epected return of 0.0179%. The fund secures Beta (Market Risk) of 0.0235 which conveys that as returns on market increase, Merger Fund returns are expected to increase less than the market. However during bear market, the loss on holding Merger Fund will be expected to be smaller as well. Although it is extremely important to respect Merger Fund price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 Merger Fund technical indicators you can presently evaluate if the expected return of 0.0179% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.78 
correlation synergy

Good predictability

Merger Fund has good predictability. Overlapping area represents the amount of predictability between Merger Fund time series from September 12, 2019 to October 27, 2019 and October 27, 2019 to December 11, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Merger Fund price movement. The serial correlation of 0.78 indicates that around 78.0% of current Merger Fund price fluctuation can be explain by its past prices.
Correlation Coefficient0.78
Spearman Rank Test0.9
Residual Average0.0
Price Variance0.0

Merger Fund lagged returns against current returns

 Current and Lagged Values 

Merger Fund regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Merger Fund Lagged Returns

 Regressed Prices 

Did you try this?

Run Idea Analyzer Now


Idea Analyzer

Analyze all characteristics, volatility and risk-adjusted return of Macroaxis ideas
All  Next Launch Module

Build Optimal Portfolios

Align your risk with return expectations

Fix your portfolio
By capturing your risk tolerance and investment horizon Macroaxis technology of instant portfolio optimization will compute exactly how much risk is acceptable for your desired return expectations
Please see also Merger Fund Hype Analysis, Merger Fund Correlation, Portfolio Optimization, Merger Fund Volatility as well as analyze Merger Fund Alpha and Beta and Merger Fund Performance. Please also try Technical Analysis module to check basic technical indicators and analysis based on most latest market data.