Ab Cap Backtesting

GCEYX -- USA Fund  

USD 14.17  0.20  1.39%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Ab Cap Fund Inc - Ab Global Core Equity Portfo and determine expected loss or profit from investing in Ab Cap over given investment horizon. Plese 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

Ab Cap '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 Ab Cap on October 24, 2019 and sell it all today you would earn a total of 0.00 from holding Ab Cap Fund Inc - Ab Global Core Equity Portfo or generate 0.0% return on investment in Ab Cap over 90 days. The fund invests primarily in a portfolio of equity securities of issuers from markets around the world

Ab Cap Upside/Downside Indicators

Downside Deviation1.16
Information Ratio(0.09)
Maximum Drawdown4.27
Value At Risk(1.39)
Potential Upside1.07

Ab Cap Market Premium Indicators

Risk Adjusted Performance0.054
Jensen Alpha0.0339
Total Risk Alpha(0.13)
Sortino Ratio(0.06)
Treynor Ratio0.2726

Ab Cap Fund Backtested Returns

We consider Ab Cap not too volatile. Ab Cap Fund retains Efficiency (Sharpe Ratio) of 0.1054 which signifies that the fund had 0.1054% of return per unit of price deviation over the last 3 months. Our approach 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 Ab Cap which you can use to evaluate future volatility of the entity. Please confirm Ab Cap Fund Inc - Ab Global Core Equity Portfo Market Risk Adjusted Performance of 0.2826, Coefficient Of Variation of 944.95 and Standard Deviation of 0.7179 to double-check if risk estimate we provide are consistent with the epected return of 0.0772%. The organization owns Beta (Systematic Risk) of 0.242 which signifies that as returns on market increase, Ab Cap returns are expected to increase less than the market. However during bear market, the loss on holding Ab Cap will be expected to be smaller as well. 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 approach 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 examining Ab Cap Fund technical indicators you can at this time evaluate if the expected return of 0.0772% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.25 
correlation synergy

Poor predictability

Ab Cap Fund Inc - Ab Global Core Equity Portfo has poor predictability. Overlapping area represents the amount of predictability between Ab Cap 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 Ab Cap Fund price movement. The serial correlation of 0.25 indicates that over 25.0% of current Ab Cap price fluctuation can be explain by its past prices.
Correlation Coefficient0.25
Spearman Rank Test0.22
Residual Average0.0
Price Variance0.02

Ab Cap Fund lagged returns against current returns

 Current and Lagged Values 

Ab Cap regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Ab Cap Lagged Returns

 Regressed Prices 

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Plese 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. Please also try Global Markets Map module to get a quick overview of global market snapshot using zoomable world map. drill down to check world indexes.