American Funds Fundamental Fund Market Value
| CFNAX Fund | USD 76.01 0.62 0.82% |
| Symbol | American |
American Funds '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 American Funds' 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 American Funds.
| 03/24/2024 |
| 04/23/2024 |
If you would invest 0.00 in American Funds on March 24, 2024 and sell it all today you would earn a total of 0.00 from holding American Funds Fundamental or generate 0.0% return on investment in American Funds over 30 days. American Funds is related to or competes with Income Fund, New World, American Mutual, American Mutual, American Funds, American Funds, and Income Fund. The fund invests primarily in common stocks of companies that appear to offer superior opportunities for capital growth ... More
American Funds 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 American Funds' 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 American Funds Fundamental upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8068 | |||
| Information Ratio | 0.027 | |||
| Maximum Drawdown | 3.84 | |||
| Value At Risk | (1.31) | |||
| Potential Upside | 1.26 |
American Funds Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for American Funds' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as American Funds' standard deviation. In reality, there are many statistical measures that can use American Funds historical prices to predict the future American Funds' volatility.| Risk Adjusted Performance | 0.0886 | |||
| Jensen Alpha | 0.1052 | |||
| Total Risk Alpha | (0.0009) | |||
| Sortino Ratio | 0.0264 | |||
| Treynor Ratio | (1.72) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of American Funds' 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.
American Funds Funda Backtested Returns
We consider American Funds very steady. American Funds Funda secures Sharpe Ratio (or Efficiency) of 0.11, which signifies that the fund had a 0.11% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for American Funds Fundamental, which you can use to evaluate the volatility of the entity. Please confirm American Funds' mean deviation of 0.6104, and Risk Adjusted Performance of 0.0886 to double-check if the risk estimate we provide is consistent with the expected return of 0.0879%. The fund shows a Beta (market volatility) of -0.0583, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning American Funds are expected to decrease at a much lower rate. During the bear market, American Funds is likely to outperform the market.
Auto-correlation | 0.26 |
Poor predictability
American Funds Fundamental has poor predictability. Overlapping area represents the amount of predictability between American Funds time series from 24th of March 2024 to 8th of April 2024 and 8th of April 2024 to 23rd 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 American Funds Funda price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current American Funds price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.26 | |
| Spearman Rank Test | 0.18 | |
| Residual Average | 0.0 | |
| Price Variance | 1.87 |
American Funds Funda lagged returns against current returns
Autocorrelation, which is American Funds 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 American Funds' mutual fund expected returns. We can calculate the autocorrelation of American Funds returns to help us make a trade decision. For example, suppose you find that American Funds 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 |
American Funds 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 American Funds mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if American Funds mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in American Funds mutual fund over time.
Current vs Lagged Prices |
| Timeline |
American Funds Lagged Returns
When evaluating American Funds' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of American Funds mutual fund have on its future price. American Funds 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, American Funds autocorrelation shows the relationship between American Funds mutual fund current value and its past values and can show if there is a momentum factor associated with investing in American Funds Fundamental.
Regressed Prices |
| Timeline |
Pair Trading with American Funds
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 American Funds 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 American Funds will appreciate offsetting losses from the drop in the long position's value.Moving together with American Mutual Fund
| 0.93 | AMECX | Income Fund | PairCorr |
| 0.87 | RNEBX | New World Fund | PairCorr |
| 0.96 | AMFCX | American Mutual | PairCorr |
| 0.85 | AMFFX | American Mutual | PairCorr |
| 0.9 | RNCCX | American Funds Me | PairCorr |
Moving against American Mutual Fund
| 0.52 | ANBEX | American Funds Strategic | PairCorr |
The ability to find closely correlated positions to American Funds could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace American Funds 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 American Funds - 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 American Funds Fundamental to buy it.
The correlation of American Funds 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 American Funds moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if American Funds Funda 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 American Funds 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 American Funds Correlation, American Funds Volatility and American Funds Alpha and Beta module to complement your research on American Funds. Note that the American Funds Funda information on this page should be used as a complementary analysis to other American Funds' 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 FinTech Suite module to use AI to screen and filter profitable investment opportunities.
American Funds 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.