American Beacon Backtesting

AMDRX -- USA Fund  

USD 15.91  0.02  0.13%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of American Beacon Mid Cap Value F 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 17, 2019
No Change 0.00  0.0 
In 2 months and 31 days
November 15, 2019
If you would invest  0.00  in American Beacon on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding American Beacon Mid Cap Value F or generate 0.0% return on investment in American Beacon over 90 days. American Beacon is related to or competes with JPMorgan Mid, John Hancock, John Hancock, T Rowe, MFS Mid, MFS Mid, and MFS Mid. The investment seeks long-term capital appreciation and current income

American Beacon Upside/Downside Indicators

Downside Deviation1.59
Information Ratio(0.019151)
Maximum Drawdown6.45
Value At Risk(1.29)
Potential Upside1.91

American Beacon Market Premium Indicators

Risk Adjusted Performance0.0757
Jensen Alpha0.1088
Total Risk Alpha(0.09)
Sortino Ratio(0.013711)
Treynor Ratio(1.87)

American Beacon Mid Backtested Returns

We consider American Beacon not too volatile. American Beacon Mid secures Sharpe Ratio (or Efficiency) of 0.09 which signifies that the fund had 0.09% of return per unit of standard deviation over the last 3 months. 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 Mid Cap Value F which you can use to evaluate future volatility of the entity. Please confirm American Beacon Mid Mean Deviation of 0.7254 and Risk Adjusted Performance of 0.0757 to double-check if risk estimate we provide are consistent with the epected return of 0.1043%. The organization shows Beta (market volatility) of -0.0546 which signifies that as returns on market increase, returns on owning American Beacon are expected to decrease at a much smaller rate. During bear market, American Beacon is likely to outperform the market. Although it is extremely important to respect American Beacon Mid 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 Mid technical indicators you can presently evaluate if the expected return of 0.1043% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.66 
correlation synergy

Good predictability

American Beacon Mid Cap Value F has good predictability. Overlapping area represents the amount of predictability between American Beacon time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 American Beacon Mid price movement. The serial correlation of 0.66 indicates that around 66.0% of current American Beacon price fluctuation can be explain by its past prices.
Correlation Coefficient0.66
Spearman Rank Test0.66
Residual Average0.0
Price Variance0.11

American Beacon Mid 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 JPMorgan Mid Cap. 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 Pattern Recognition module to use different pattern recognition models to time the market across multiple global exchanges.