American Mutual Backtesting

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AMFFX -- USA Fund  

USD 43.97  0.19  0.43%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of American Mutual Fund Class F 1 and determine expected loss or profit from investing in American Mutual over given investment horizon. Please continue to American Mutual Hype Analysis, American Mutual Correlation, Portfolio Optimization, American Mutual Volatility as well as analyze American Mutual Alpha and Beta and American Mutual Performance.

American Mutual 'What if' Analysis

November 26, 2019
No Change 0.00  0.0 
In 3 months and 1 day
February 24, 2020
If you would invest  0.00  in American Mutual on November 26, 2019 and sell it all today you would earn a total of 0.00 from holding American Mutual Fund Class F 1 or generate 0.0% return on investment in American Mutual over 90 days. American Mutual is related to or competes with Invesco Diversified, Equity Income, JPMorgan Value, Hartford Dividend, Strategic Advisers, Lord Abbett, and American Beacon. The investment seeks current income, growth of capital and conservation of principal

American Mutual Upside/Downside Indicators

Downside Deviation1.02
Information Ratio(0.042875)
Maximum Drawdown4.59
Value At Risk(1.12)
Potential Upside0.87

American Mutual Market Premium Indicators

Risk Adjusted Performance0.0262
Jensen Alpha0.0205
Total Risk Alpha(0.024364)
Sortino Ratio(0.029056)
Treynor Ratio(0.1)

American Mutual Fund Backtested Returns

We consider American Mutual very steady. American Mutual Fund secures Sharpe Ratio (or Efficiency) of 0.0142 which signifies that the fund had 0.0142% 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 Mutual Fund Class F 1 which you can use to evaluate future volatility of the entity. Please confirm American Mutual Fund Mean Deviation of 0.4501 and Risk Adjusted Performance of 0.0262 to double-check if risk estimate we provide are consistent with the epected return of 0.0099%. The organization shows Beta (market volatility) of -0.1437 which signifies that as returns on market increase, returns on owning American Mutual are expected to decrease at a much smaller rate. During bear market, American Mutual is likely to outperform the market. Although it is extremely important to respect American Mutual Fund 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 Mutual Fund technical indicators you can presently evaluate if the expected return of 0.0099% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.48) 
correlation synergy

Modest reverse predictability

American Mutual Fund Class F 1 has modest reverse predictability. Overlapping area represents the amount of predictability between American Mutual time series from November 26, 2019 to January 10, 2020 and January 10, 2020 to February 24, 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 Mutual Fund price movement. The serial correlation of -0.48 indicates that about 48.0% of current American Mutual price fluctuation can be explain by its past prices. Given that American Mutual Fund Class F 1 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of American Mutual for similar time interval.
Correlation Coefficient-0.48
Spearman Rank Test-0.37
Residual Average0.0
Price Variance0.15

American Mutual Fund lagged returns against current returns

 Current and Lagged Values 

American Mutual regressed lagged prices vs. current prices

 Current vs Lagged Prices 

American Mutual Lagged Returns

 Regressed Prices 

Current Sentiment - AMFFX

American Mutual Fund Investor Sentiment

Most of Macroaxis users are presently bullish on American Mutual Fund Class F 1. What is your sentiment towards investing in American Mutual Fund Class F 1? Are you bullish or bearish?
98% Bullish
2% Bearish

American Mutual Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for American Mutual and Invesco Diversified. 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 Mutual Hype Analysis, American Mutual Correlation, Portfolio Optimization, American Mutual Volatility as well as analyze American Mutual Alpha and Beta and American Mutual Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.