Ab Discovery Value Fund Market Value
| ABSZX Fund | USD 20.85 0.01 0.05% |
| Symbol | ABSZX |
Ab Discovery '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 Ab Discovery'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 Ab Discovery.
| 03/20/2024 |
| 04/19/2024 |
If you would invest 0.00 in Ab Discovery on March 20, 2024 and sell it all today you would earn a total of 0.00 from holding Ab Discovery Value or generate 0.0% return on investment in Ab Discovery over 30 days. Ab Discovery is related to or competes with Ab Global, Ab Global, Ab Global, Ab Minnesota, Ab Minnesota, Ab All, and Ab All. The fund invests primarily in a diversified portfolio of equity securities of small- to mid-capitalization U.S More
Ab Discovery 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 Ab Discovery'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 Ab Discovery Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.14 | |||
| Information Ratio | (0.04) | |||
| Maximum Drawdown | 4.5 | |||
| Value At Risk | (1.65) | |||
| Potential Upside | 1.51 |
Ab Discovery Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ab Discovery's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ab Discovery's standard deviation. In reality, there are many statistical measures that can use Ab Discovery historical prices to predict the future Ab Discovery's volatility.| Risk Adjusted Performance | 0.0227 | |||
| Jensen Alpha | (0.06) | |||
| Total Risk Alpha | (0.07) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.0142 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ab Discovery'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.
Ab Discovery Value Backtested Returns
Ab Discovery Value retains Efficiency (Sharpe Ratio) of -0.0051, which signifies that the fund had a -0.0051% return per unit of price deviation over the last 3 months. Ab Discovery exposes twenty-seven different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Ab Discovery's Standard Deviation of 0.9989, market risk adjusted performance of 0.0242, and Coefficient Of Variation of 3266.5 to double-check the risk estimate we provide. The fund owns a Beta (Systematic Risk) of 1.45, which signifies 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, Ab Discovery will likely underperform.
Auto-correlation | 0.20 |
Weak predictability
Ab Discovery Value has weak predictability. Overlapping area represents the amount of predictability between Ab Discovery time series from 20th of March 2024 to 4th of April 2024 and 4th of April 2024 to 19th 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 Ab Discovery Value price movement. The serial correlation of 0.2 indicates that over 20.0% of current Ab Discovery price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.45 | |
| Residual Average | 0.0 | |
| Price Variance | 0.25 |
Ab Discovery Value lagged returns against current returns
Autocorrelation, which is Ab Discovery 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 Ab Discovery's mutual fund expected returns. We can calculate the autocorrelation of Ab Discovery returns to help us make a trade decision. For example, suppose you find that Ab Discovery 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 |
Ab Discovery 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 Ab Discovery mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ab Discovery mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ab Discovery mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ab Discovery Lagged Returns
When evaluating Ab Discovery's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ab Discovery mutual fund have on its future price. Ab Discovery 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, Ab Discovery autocorrelation shows the relationship between Ab Discovery mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ab Discovery Value.
Regressed Prices |
| Timeline |
Pair Trading with Ab Discovery
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 Ab Discovery 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 Ab Discovery will appreciate offsetting losses from the drop in the long position's value.Moving together with ABSZX Mutual Fund
| 0.95 | GCEAX | Ab Global E | PairCorr |
| 0.89 | GCECX | Ab Global E | PairCorr |
| 0.88 | GCEYX | Ab Global E | PairCorr |
The ability to find closely correlated positions to Ab Discovery could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Ab Discovery 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 Ab Discovery - 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 Ab Discovery Value to buy it.
The correlation of Ab Discovery 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 Ab Discovery moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Ab Discovery Value 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 Ab Discovery 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 Ab Discovery Correlation, Ab Discovery Volatility and Ab Discovery Alpha and Beta module to complement your research on Ab Discovery. Note that the Ab Discovery Value information on this page should be used as a complementary analysis to other Ab Discovery'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 Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. Macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
Ab Discovery 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.