AB Cap Backtesting

GCEAX -- USA Fund  

USD 13.86  0.06  0.43%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of AB Cap Fund Inc AB Global C and determine expected loss or profit from investing in AB Cap over given investment horizon. Please also check AB Cap Hype Analysis, AB Cap Correlation, Portfolio Optimization, AB Cap Volatility as well as analyze AB Cap Alpha and Beta and AB Cap Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

AB Cap 'What if' Analysis

August 17, 2019
0.00
No Change 0.00  0.0 
In 3 months and 1 day
November 15, 2019
0.00
If you would invest  0.00  in AB Cap on August 17, 2019 and sell it all today you would earn a total of 0.00 from holding AB Cap Fund Inc AB Global C or generate 0.0% return on investment in AB Cap over 90 days. AB Cap is related to or competes with Capital World, New Perspective, New Perspective, Mutual Global, Invesco Oppenheimer, Invesco Oppenheimer, and Invesco Oppenheimer. The fund invests primarily in a portfolio of equity securities of issuers from markets around the world

AB Cap Upside/Downside Indicators

Downside Deviation0.9237
Information Ratio0.0204
Maximum Drawdown4.68
Value At Risk(1.27)
Potential Upside1.36

AB Cap Market Premium Indicators

Risk Adjusted Performance0.1258
Jensen Alpha0.0209
Total Risk Alpha(0.00978)
Sortino Ratio0.0198
Treynor Ratio0.1451

AB Cap Fund Backtested Returns

We consider AB Cap not too volatile. AB Cap Fund retains Efficiency (Sharpe Ratio) of 0.1277 which signifies that the fund had 0.1277% of return per unit of price deviation over the last 3 months. Our way in which we are 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 AB Cap which you can use to evaluate future volatility of the entity. Please confirm AB Cap Fund Inc AB Global C Market Risk Adjusted Performance of 0.1551, Coefficient Of Variation of 589.62 and Standard Deviation of 0.8967 to double-check if risk estimate we provide are consistent with the epected return of 0.1137%. The entity owns Beta (Systematic Risk) of 0.979 which signifies that AB Cap returns are very sensitive to returns on the market. as market goes up or down, AB Cap is expected to follow. Although it is extremely important to respect AB Cap Fund existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are 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 evaluating AB Cap Fund technical indicators you can at this moment evaluate if the expected return of 0.1137% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.71 
correlation synergy

Good predictability

AB Cap Fund Inc AB Global C has good predictability. Overlapping area represents the amount of predictability between AB Cap time series from August 17, 2019 to October 1, 2019 and October 1, 2019 to November 15, 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 AB Cap Fund price movement. The serial correlation of 0.71 indicates that around 71.0% of current AB Cap price fluctuation can be explain by its past prices.
Correlation Coefficient0.71
Spearman Rank Test0.69
Residual Average0.0
Price Variance0.11

AB Cap Fund lagged returns against current returns

 Current and Lagged Values 
      Timeline 

AB Cap regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

AB Cap Lagged Returns

 Regressed Prices 
      Timeline 

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