American Beacon Backtesting

AM
AMDRX -- USA Fund  

USD 16.02  0.42  2.55%

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. Please continue to 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
SymbolX
Backtest

American Beacon 'What if' Analysis

October 29, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
January 27, 2020
0.00
If you would invest  0.00  in American Beacon on October 29, 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 Columbia Select, Fidelity Value, Delaware Opportunity, Franklin Balance, American Beacon, VY JPMorgan, and VY American. The investment seeks long-term capital appreciation and current income

American Beacon Upside/Downside Indicators

Downside Deviation1.03
Information Ratio(0.14)
Maximum Drawdown4.11
Value At Risk(1.34)
Potential Upside1.17

American Beacon Market Premium Indicators

Risk Adjusted Performance0.0115
Jensen Alpha(0.06)
Total Risk Alpha(0.18)
Sortino Ratio(0.11)
Treynor Ratio0.0042

American Beacon Mid Backtested Returns

We consider American Beacon not too volatile. American Beacon Mid secures Sharpe Ratio (or Efficiency) of 0.0442 which signifies that the fund had 0.0442% 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 Risk Adjusted Performance of 0.0115 and Mean Deviation of 0.5211 to double-check if risk estimate we provide are consistent with the epected return of 0.0347%. The organization shows Beta (market volatility) of 0.5915 which signifies that as returns on market increase, American Beacon returns are expected to increase less than the market. However during bear market, the loss on holding American Beacon will be expected to be smaller as well. 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 0.0347% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.21 
correlation synergy

Weak predictability

American Beacon Mid Cap Value F has weak predictability. Overlapping area represents the amount of predictability between American Beacon time series from October 29, 2019 to December 13, 2019 and December 13, 2019 to January 27, 2020. 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 0.21 indicates that over 21.0% of current American Beacon price fluctuation can be explain by its past prices.
Correlation Coefficient0.21
Spearman Rank Test0.24
Residual Average0.0
Price Variance0.02

American Beacon Mid lagged returns against current returns

 Current and Lagged Values 
    
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American Beacon regressed lagged prices vs. current prices

 Current vs Lagged Prices 
    
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American Beacon Lagged Returns

 Regressed Prices 
    
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Current Sentiment - AMDRX

American Beacon Mid Investor Sentiment

Macroaxis portfolio users are unresponsive in their sentiment towards investing in American Beacon Mid Cap Value F. What is your sentiment towards investing in American Beacon Mid Cap Value F? Are you bullish or bearish?
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American Beacon Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for American Beacon and Columbia Select Mid. 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
Run Pair Correlation  
Please continue to 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 Aroon Oscillator module to analyze current equity momentum using aroon oscillator and other momentum ratios.