AllianzGI NFJ Backtesting

ANDVX -- USA Fund  

USD 15.85  0.01  0.06%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of AllianzGI NFJ Dividend Value R6 and determine expected loss or profit from investing in AllianzGI NFJ over given investment horizon. Check also AllianzGI NFJ Hype Analysis, AllianzGI NFJ Correlation, Portfolio Optimization, AllianzGI NFJ Volatility as well as analyze AllianzGI NFJ Alpha and Beta and AllianzGI NFJ Performance.
Horizon     30 Days    Login   to change

AllianzGI NFJ 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in AllianzGI NFJ on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding AllianzGI NFJ Dividend Value R6 or generate 0.0% return on investment in AllianzGI NFJ over 30 days. AllianzGI NFJ is related to or competes with American Funds, American Funds, American Funds, American Funds, American Funds, American Funds, and American Funds. The investment seeks long-term growth of capital and income

AllianzGI NFJ Upside/Downside Indicators

Downside Deviation0.2908
Information Ratio0.35
Maximum Drawdown1.34
Value At Risk0.38
Potential Upside0.6418

AllianzGI NFJ Market Premium Indicators

Risk Adjusted Performance0.0647
Jensen Alpha0.0226
Total Risk Alpha0.09
Sortino Ratio0.42
Treynor Ratio0.3535

AllianzGI NFJ Dividend Backtested Returns

We consider AllianzGI NFJ not too risky. AllianzGI NFJ Dividend secures Sharpe Ratio (or Efficiency) of 0.237 which signifies that AllianzGI NFJ Dividend had 0.237% of return per unit of risk over the last 1 month. Our philosophy towards 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 AllianzGI NFJ Dividend Value R6 which you can use to evaluate future volatility of the entity. Please confirm AllianzGI NFJ Dividend Downside Deviation of 0.2908, Risk Adjusted Performance of 0.0647 and Mean Deviation of 0.2947 to double-check if risk estimate we provide are consistent with the epected return of 0.0824%. The organization shows Beta (market volatility) of 0.1204 which signifies that as returns on market increase, AllianzGI NFJ returns are expected to increase less than the market. However during bear market, the loss on holding AllianzGI NFJ will be expected to be smaller as well.. Although it is extremely important to respect AllianzGI NFJ Dividend historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards 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 AllianzGI NFJ Dividend technical indicators you can presently evaluate if the expected return of 0.0824% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.37) 

Poor reverse predictability

AllianzGI NFJ Dividend Value R6 has poor reverse predictability. Overlapping area represents the amount of predictability between AllianzGI NFJ time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 2018. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AllianzGI NFJ Dividend price movement. The serial correlation of -0.37 indicates that just about 37.0% of current AllianzGI NFJ price fluctuation can be explain by its past prices. Given that AllianzGI NFJ Dividend Value R6 has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of AllianzGI NFJ for similar time interval.
Correlation Coefficient-0.37
Spearman Rank Test-0.23
Residual Average0.0
Price Variance0.01

AllianzGI NFJ Dividend lagged returns against current returns

 Current and Lagged Values 

AllianzGI NFJ regressed lagged prices vs. current prices

 Current vs Lagged Prices 

AllianzGI NFJ Lagged Returns

 Regressed Prices 

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AllianzGI NFJ Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for AllianzGI NFJ and American Funds Washi. 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 AllianzGI NFJ Hype Analysis, AllianzGI NFJ Correlation, Portfolio Optimization, AllianzGI NFJ Volatility as well as analyze AllianzGI NFJ Alpha and Beta and AllianzGI NFJ Performance. Please also try Alpha Finder module to use alpha and beta coefficients to find investment opportunities after accounting for the risk.