American Funds Backtesting

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CPGAX -- USA Fund  

USD 18.02  0.24  1.35%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of American Funds Global Growth Po and determine expected loss or profit from investing in American Funds over given investment horizon. Continue to American Funds Hype Analysis, American Funds Correlation, Portfolio Optimization, American Funds Volatility as well as analyze American Funds Alpha and Beta and American Funds Performance.
Horizon     30 Days    Login   to change

American Funds 'What if' Analysis

October 24, 2019
No Change 0.00  0.0 
In 3 months and 1 day
January 22, 2020
If you would invest  0.00  in American Funds on October 24, 2019 and sell it all today you would earn a total of 0.00 from holding American Funds Global Growth Po or generate 0.0% return on investment in American Funds over 90 days. American Funds is related to or competes with Janus Henderson, Janus Henderson, MSIF GLOBAL, MSIF GLOBAL, John Hancock, BlackRock Global, and Thrivent Large. The fund invests in a mix of American Funds in different combinations and weightings

American Funds Upside/Downside Indicators

Downside Deviation1.17
Information Ratio(0.037352)
Maximum Drawdown5.63
Value At Risk(0.57)
Potential Upside0.7932

American Funds Market Premium Indicators

Risk Adjusted Performance0.073
Jensen Alpha0.0245
Total Risk Alpha(0.08)
Sortino Ratio(0.022096)
Treynor Ratio0.1604

American Funds Global Backtested Returns

We consider American Funds not too volatile. American Funds Global secures Sharpe Ratio (or Efficiency) of 0.1101 which signifies that the fund had 0.1101% 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 Funds Global Growth Po which you can use to evaluate future volatility of the entity. Please confirm American Funds Global Risk Adjusted Performance of 0.073 and Mean Deviation of 0.3935 to double-check if risk estimate we provide are consistent with the epected return of 0.0811%. The organization shows Beta (market volatility) of 0.5705 which signifies that as returns on market increase, American Funds returns are expected to increase less than the market. However during bear market, the loss on holding American Funds will be expected to be smaller as well. Although it is extremely important to respect American Funds Global 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 Funds Global technical indicators you can presently evaluate if the expected return of 0.0811% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 
correlation synergy

Insignificant reverse predictability

American Funds Global Growth Po has insignificant reverse predictability. Overlapping area represents the amount of predictability between American Funds time series from October 24, 2019 to December 8, 2019 and December 8, 2019 to January 22, 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 Funds Global price movement. The serial correlation of -0.19 indicates that over 19.0% of current American Funds price fluctuation can be explain by its past prices. Given that American Funds Global Growth Po has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of American Funds for similar time interval.
Correlation Coefficient-0.19
Spearman Rank Test-0.16
Residual Average0.0
Price Variance0.08

American Funds Global lagged returns against current returns

 Current and Lagged Values 

American Funds regressed lagged prices vs. current prices

 Current vs Lagged Prices 

American Funds Lagged Returns

 Regressed Prices 

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American Funds Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for American Funds and Janus Henderson Global. 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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Continue to American Funds Hype Analysis, American Funds Correlation, Portfolio Optimization, American Funds Volatility as well as analyze American Funds Alpha and Beta and American Funds Performance. Please also try Portfolio Suggestion module to get suggestions outside of your existing asset allocation including your own model portfolios.