The Arbitrage Fund Market Value
| ARBCX Fund | USD 11.52 0.01 0.09% |
| Symbol | Arbitrage |
Arbitrage Fund 'What if' Analysis
In the world of financial modeling, what-if analysis is part of sensitivity analysis performed to test how changes in assumptions impact individual outputs in a model. When applied to Arbitrage Fund's mutual fund what-if analysis refers to the analyzing how the change in your past investing horizon will affect the profitability against the current market value of Arbitrage Fund.
| 05/06/2022 |
| 04/25/2024 |
If you would invest 0.00 in Arbitrage Fund on May 6, 2022 and sell it all today you would earn a total of 0.00 from holding The Arbitrage Fund or generate 0.0% return on investment in Arbitrage Fund over 720 days. Arbitrage Fund is related to or competes with Arbitrage Fund, Arbitrage Fund, Arbitrage Credit, Arbitrage Fund, Arbitrage Credit, and Arbitrage Event. The fund will invest at least 80 percent of its net assets in equity securities of companies that are involved in public... More
Arbitrage Fund Upside/Downside Indicators
Understanding different market momentum indicators often help investors to time their next move. Potential upside and downside technical ratios enable traders to measure Arbitrage Fund's mutual fund current market value against overall market sentiment and can be a good tool during both bulling and bearish trends. Here we outline some of the essential indicators to assess The Arbitrage Fund upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.53) | |||
| Maximum Drawdown | 1.55 | |||
| Value At Risk | (0.26) | |||
| Potential Upside | 0.1724 |
Arbitrage Fund Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Arbitrage Fund's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Arbitrage Fund's standard deviation. In reality, there are many statistical measures that can use Arbitrage Fund historical prices to predict the future Arbitrage Fund's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.05) | |||
| Treynor Ratio | (0.19) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Arbitrage Fund's price to converge to an average value over time is called mean reversion. However, historically, high market prices usually discourage investors that believe in mean reversion to invest, while low prices are viewed as an opportunity to buy.
Arbitrage Fund Backtested Returns
Arbitrage Fund secures Sharpe Ratio (or Efficiency) of -0.0864, which signifies that the fund had a -0.0864% return per unit of standard deviation over the last 3 months. The Arbitrage Fund exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Arbitrage Fund's Coefficient Of Variation of (1,109), mean deviation of 0.1321, and Risk Adjusted Performance of (0.08) to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Arbitrage Fund's returns are expected to increase less than the market. However, during the bear market, the loss of holding Arbitrage Fund is expected to be smaller as well.
Auto-correlation | 0.47 |
Average predictability
The Arbitrage Fund has average predictability. Overlapping area represents the amount of predictability between Arbitrage Fund time series from 6th of May 2022 to 1st of May 2023 and 1st of May 2023 to 25th of April 2024. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Arbitrage Fund price movement. The serial correlation of 0.47 indicates that about 47.0% of current Arbitrage Fund price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.47 | |
| Spearman Rank Test | 0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.08 |
Arbitrage Fund lagged returns against current returns
Autocorrelation, which is Arbitrage Fund mutual fund's lagged correlation, explains the relationship between observations of its time series of returns over different periods of time. The observations are said to be independent if autocorrelation is zero. Autocorrelation is calculated as a function of mean and variance and can have practical application in predicting Arbitrage Fund's mutual fund expected returns. We can calculate the autocorrelation of Arbitrage Fund returns to help us make a trade decision. For example, suppose you find that Arbitrage Fund has exhibited high autocorrelation historically, and you observe that the mutual fund is moving up for the past few days. In that case, you can expect the price movement to match the lagging time series.
Current and Lagged Values |
| Timeline |
Arbitrage Fund regressed lagged prices vs. current prices
Serial correlation can be approximated by using the Durbin-Watson (DW) test. The correlation can be either positive or negative. If Arbitrage Fund mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Arbitrage Fund mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Arbitrage Fund mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Arbitrage Fund Lagged Returns
When evaluating Arbitrage Fund's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Arbitrage Fund mutual fund have on its future price. Arbitrage Fund autocorrelation represents the degree of similarity between a given time horizon and a lagged version of the same horizon over the previous time interval. In other words, Arbitrage Fund autocorrelation shows the relationship between Arbitrage Fund mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Arbitrage Fund.
Regressed Prices |
| Timeline |
Pair Trading with Arbitrage Fund
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if Arbitrage Fund position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in Arbitrage Fund will appreciate offsetting losses from the drop in the long position's value.Moving together with Arbitrage Mutual Fund
| 0.99 | ARBNX | Arbitrage Fund | PairCorr |
| 0.99 | ARBFX | Arbitrage Fund | PairCorr |
| 0.99 | ARGAX | Arbitrage Fund | PairCorr |
| 0.7 | AEDFX | Arbitrage Event | PairCorr |
The ability to find closely correlated positions to Arbitrage Fund could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Arbitrage Fund when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back Arbitrage Fund - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling The Arbitrage Fund to buy it.
The correlation of Arbitrage Fund is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as Arbitrage Fund moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Arbitrage Fund moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for Arbitrage Fund can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out Arbitrage Fund Correlation, Arbitrage Fund Volatility and Arbitrage Fund Alpha and Beta module to complement your research on Arbitrage Fund. Note that the Arbitrage Fund information on this page should be used as a complementary analysis to other Arbitrage Fund's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Content Syndication module to quickly integrate customizable finance content to your own investment portal.
Arbitrage Fund technical mutual fund analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, fund market cycles, or different charting patterns.