The Arbitrage Event Driven Fund Market Value
| AEDNX Fund | USD 11.50 0.03 0.26% |
| Symbol | Arbitrage |
Arbitrage Event '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 Event'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 Event.
| 04/01/2024 |
| 05/01/2024 |
If you would invest 0.00 in Arbitrage Event on April 1, 2024 and sell it all today you would earn a total of 0.00 from holding The Arbitrage Event Driven or generate 0.0% return on investment in Arbitrage Event over 30 days. Arbitrage Event is related to or competes with Ab Small, Cardinal Small, Rbc Small, Old Westbury, Artisan Small, and Pace Smallmedium. The fund invests in equity and debt and debt-like instruments of companies whose prices the funds investment adviser bel... More
Arbitrage Event 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 Event'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 Event Driven upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.40) | |||
| Maximum Drawdown | 0.8615 | |||
| Value At Risk | (0.35) | |||
| Potential Upside | 0.2573 |
Arbitrage Event Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Arbitrage Event's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Arbitrage Event's standard deviation. In reality, there are many statistical measures that can use Arbitrage Event historical prices to predict the future Arbitrage Event's volatility.| Risk Adjusted Performance | (0.08) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Treynor Ratio | (0.18) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Arbitrage Event'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 Event Backtested Returns
Arbitrage Event secures Sharpe Ratio (or Efficiency) of -0.0502, which signifies that the fund had a -0.0502% return per unit of standard deviation over the last 3 months. The Arbitrage Event Driven exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Arbitrage Event's Risk Adjusted Performance of (0.08), coefficient of variation of (1,121), and Mean Deviation of 0.1502 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 Event's returns are expected to increase less than the market. However, during the bear market, the loss of holding Arbitrage Event is expected to be smaller as well.
Auto-correlation | -0.46 |
Modest reverse predictability
The Arbitrage Event Driven has modest reverse predictability. Overlapping area represents the amount of predictability between Arbitrage Event time series from 1st of April 2024 to 16th of April 2024 and 16th of April 2024 to 1st of May 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 Event price movement. The serial correlation of -0.46 indicates that about 46.0% of current Arbitrage Event price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.46 | |
| Spearman Rank Test | -0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Arbitrage Event lagged returns against current returns
Autocorrelation, which is Arbitrage Event 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 Event's mutual fund expected returns. We can calculate the autocorrelation of Arbitrage Event returns to help us make a trade decision. For example, suppose you find that Arbitrage Event 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 Event 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 Event mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Arbitrage Event 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 Event mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Arbitrage Event Lagged Returns
When evaluating Arbitrage Event's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Arbitrage Event mutual fund have on its future price. Arbitrage Event 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 Event autocorrelation shows the relationship between Arbitrage Event mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Arbitrage Event Driven.
Regressed Prices |
| Timeline |
Pair Trading with Arbitrage Event
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 Event 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 Event will appreciate offsetting losses from the drop in the long position's value.Moving together with Arbitrage Mutual Fund
| 0.75 | ARBNX | Arbitrage Fund | PairCorr |
| 0.8 | ARBCX | Arbitrage Fund | PairCorr |
| 0.76 | ARGAX | Arbitrage Fund | PairCorr |
| 0.68 | BCLPX | Blckrk Lc Cr | PairCorr |
| 0.68 | BALPX | Blckrk Lc Cr | PairCorr |
The ability to find closely correlated positions to Arbitrage Event 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 Event 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 Event - 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 Event Driven to buy it.
The correlation of Arbitrage Event 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 Event moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Arbitrage Event 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 Event 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 Event Correlation, Arbitrage Event Volatility and Arbitrage Event Alpha and Beta module to complement your research on Arbitrage Event. You can also try the Price Exposure Probability module to analyze equity upside and downside potential for a given time horizon across multiple markets.
Arbitrage Event 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.