Allianz NFJ Backtesting

ANFVX -- USA Fund  

USD 17.05  0.14  0.83%

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

Allianz NFJ 'What if' Analysis

July 19, 2019
No Change 0.00  0.0 
In 3 months and 1 day
October 17, 2019
If you would invest  0.00  in Allianz NFJ on July 19, 2019 and sell it all today you would earn a total of 0.00 from holding Allianz NFJ Small Cap Value Fun or generate 0.0% return on investment in Allianz NFJ over 90 days. Allianz NFJ is related to or competes with DFA U, Victory Sycamore, Undiscovered Managers, Undiscovered Managers, Delaware Small, Delaware Small, and Delaware Small. The investment seeks long-term growth of capital and income

Allianz NFJ Upside/Downside Indicators

Information Ratio(0.009127)
Maximum Drawdown5.34
Value At Risk(2.49)
Potential Upside1.68

Allianz NFJ Market Premium Indicators

Risk Adjusted Performance(0.01981)
Jensen Alpha(0.034233)
Total Risk Alpha(0.006723)
Treynor Ratio4.67

Allianz NFJ Small Backtested Returns

We consider Allianz NFJ not too volatile. Allianz NFJ Small secures Sharpe Ratio (or Efficiency) of 0.0172 which signifies that the fund had 0.0172% of return per unit of risk over the last 3 months. 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 Allianz NFJ Small Cap Value Fun which you can use to evaluate future volatility of the entity. Please confirm Allianz NFJ Small Mean Deviation of 0.822 and Risk Adjusted Performance of (0.01981) to double-check if risk estimate we provide are consistent with the epected return of 0.0192%. The organization shows Beta (market volatility) of -0.0073 which signifies that as returns on market increase, returns on owning Allianz NFJ are expected to decrease at a much smaller rate. During bear market, Allianz NFJ is likely to outperform the market. Although it is extremely important to respect Allianz NFJ Small 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 Allianz NFJ Small technical indicators you can presently evaluate if the expected return of 0.0192% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.09) 
correlation synergy

Very weak reverse predictability

Allianz NFJ Small Cap Value Fun has very weak reverse predictability. Overlapping area represents the amount of predictability between Allianz NFJ time series from July 19, 2019 to September 2, 2019 and September 2, 2019 to October 17, 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 Allianz NFJ Small price movement. The serial correlation of -0.09 indicates that less than 9.0% of current Allianz NFJ price fluctuation can be explain by its past prices. Given that Allianz NFJ Small Cap Value Fun has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Allianz NFJ for similar time interval.
Correlation Coefficient-0.09
Spearman Rank Test0.21
Residual Average0.0
Price Variance0.09

Allianz NFJ Small lagged returns against current returns

 Current and Lagged Values 

Allianz NFJ regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Allianz NFJ Lagged Returns

 Regressed Prices 

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Allianz NFJ Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Allianz NFJ and DFA U S. 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 Allianz NFJ Hype Analysis, Allianz NFJ Correlation, Portfolio Optimization, Allianz NFJ Volatility as well as analyze Allianz NFJ Alpha and Beta and Allianz NFJ Performance. Please also try Portfolio Manager module to state of the art portfolio manager to monitor and improve performance of your invested capital.