Alliancebernstein Global High Fund Market Value
| AWF Fund | USD 10.67 0.08 0.76% |
| Symbol | Alliancebernstein |
Alliancebernstein '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 Alliancebernstein's 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 Alliancebernstein.
| 04/21/2024 |
| 05/21/2024 |
If you would invest 0.00 in Alliancebernstein on April 21, 2024 and sell it all today you would earn a total of 0.00 from holding Alliancebernstein Global High or generate 0.0% return on investment in Alliancebernstein over 30 days. Alliancebernstein is related to or competes with Flaherty Crumrine, Barings Participation, and AllianzGI Convertible. AllianceBernstein Global High Income Fund is a close-ended fixed income mutual fund launched and managed by AllianceBern... More
Alliancebernstein 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 Alliancebernstein's 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 Alliancebernstein Global High upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5637 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 2.56 | |||
| Value At Risk | (0.87) | |||
| Potential Upside | 1.01 |
Alliancebernstein Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Alliancebernstein's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Alliancebernstein's standard deviation. In reality, there are many statistical measures that can use Alliancebernstein historical prices to predict the future Alliancebernstein's volatility.| Risk Adjusted Performance | 0.0648 | |||
| Jensen Alpha | 0.0122 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.0872 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Alliancebernstein'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.
Alliancebernstein Backtested Returns
We consider Alliancebernstein very steady. Alliancebernstein secures Sharpe Ratio (or Efficiency) of 0.12, which signifies that the fund had a 0.12% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Alliancebernstein Global High, which you can use to evaluate the volatility of the entity. Please confirm Alliancebernstein's Downside Deviation of 0.5637, risk adjusted performance of 0.0648, and Mean Deviation of 0.4414 to double-check if the risk estimate we provide is consistent with the expected return of 0.0732%. The fund shows a Beta (market volatility) of 0.64, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Alliancebernstein's returns are expected to increase less than the market. However, during the bear market, the loss of holding Alliancebernstein is expected to be smaller as well.
Auto-correlation | 0.70 |
Good predictability
Alliancebernstein Global High has good predictability. Overlapping area represents the amount of predictability between Alliancebernstein time series from 21st of April 2024 to 6th of May 2024 and 6th of May 2024 to 21st of May 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 Alliancebernstein price movement. The serial correlation of 0.7 indicates that around 70.0% of current Alliancebernstein price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.7 | |
| Spearman Rank Test | 0.8 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Alliancebernstein lagged returns against current returns
Autocorrelation, which is Alliancebernstein 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 Alliancebernstein's fund expected returns. We can calculate the autocorrelation of Alliancebernstein returns to help us make a trade decision. For example, suppose you find that Alliancebernstein has exhibited high autocorrelation historically, and you observe that the 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 |
Alliancebernstein 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 Alliancebernstein fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Alliancebernstein fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Alliancebernstein fund over time.
Current vs Lagged Prices |
| Timeline |
Alliancebernstein Lagged Returns
When evaluating Alliancebernstein's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Alliancebernstein fund have on its future price. Alliancebernstein 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, Alliancebernstein autocorrelation shows the relationship between Alliancebernstein fund current value and its past values and can show if there is a momentum factor associated with investing in Alliancebernstein Global High.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
| VWITX | Vanguard Intermediate Term Tax Exempt | |
| VGSTX | Vanguard Star Fund | |
| VFIAX | Vanguard 500 Index | |
| VTCLX | Vanguard Tax Managed Capital | |
| VTSAX | Vanguard Total Stock |
Check out Alliancebernstein Correlation, Alliancebernstein Volatility and Alliancebernstein Alpha and Beta module to complement your research on Alliancebernstein. You can also try the Piotroski F Score module to get Piotroski F Score based on the binary analysis strategy of nine different fundamentals.
Alliancebernstein technical 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.