Astor Macro Alternative Fund Market Value
| ASTMX Fund | USD 10.35 0.01 0.1% |
| Symbol | Astor |
Astor Macro '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 Astor Macro'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 Astor Macro.
| 03/25/2024 |
| 04/24/2024 |
If you would invest 0.00 in Astor Macro on March 25, 2024 and sell it all today you would earn a total of 0.00 from holding Astor Macro Alternative or generate 0.0% return on investment in Astor Macro over 30 days. Astor Macro is related to or competes with Catalyst/millburn, Catalyst/millburn, Blackrock Tactical, and Blackrock Tactical. The adviser utilizes multiple quantitative strategies implemented over a broad variety of asset classes and countries in... More
Astor Macro 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 Astor Macro'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 Astor Macro Alternative upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.36) | |||
| Maximum Drawdown | 1.72 | |||
| Value At Risk | (0.58) | |||
| Potential Upside | 0.5797 |
Astor Macro Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Astor Macro's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Astor Macro's standard deviation. In reality, there are many statistical measures that can use Astor Macro historical prices to predict the future Astor Macro's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.09) | |||
| Treynor Ratio | 1.58 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Astor Macro'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.
Astor Macro Alternative Backtested Returns
Astor Macro Alternative secures Sharpe Ratio (or Efficiency) of -0.0691, which signifies that the fund had a -0.0691% return per unit of risk over the last 3 months. Astor Macro Alternative exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Astor Macro's Mean Deviation of 0.2751, risk adjusted performance of (0.07), and Standard Deviation of 0.3536 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of -0.027, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Astor Macro are expected to decrease at a much lower rate. During the bear market, Astor Macro is likely to outperform the market.
Auto-correlation | -0.11 |
Insignificant reverse predictability
Astor Macro Alternative has insignificant reverse predictability. Overlapping area represents the amount of predictability between Astor Macro time series from 25th of March 2024 to 9th of April 2024 and 9th of April 2024 to 24th 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 Astor Macro Alternative price movement. The serial correlation of -0.11 indicates that less than 11.0% of current Astor Macro price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.11 | |
| Spearman Rank Test | -0.05 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Astor Macro Alternative lagged returns against current returns
Autocorrelation, which is Astor Macro 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 Astor Macro's mutual fund expected returns. We can calculate the autocorrelation of Astor Macro returns to help us make a trade decision. For example, suppose you find that Astor Macro 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 |
Astor Macro 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 Astor Macro mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Astor Macro mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Astor Macro mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Astor Macro Lagged Returns
When evaluating Astor Macro's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Astor Macro mutual fund have on its future price. Astor Macro 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, Astor Macro autocorrelation shows the relationship between Astor Macro mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Astor Macro Alternative.
Regressed Prices |
| Timeline |
Pair Trading with Astor Macro
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 Astor Macro 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 Astor Macro will appreciate offsetting losses from the drop in the long position's value.Moving against Astor Mutual Fund
| 0.85 | FSMMX | Fs Multi Strategy | PairCorr |
| 0.82 | GSMHX | Gmo Sgm Major | PairCorr |
| 0.82 | GSMFX | Gmo Sgm Major | PairCorr |
| 0.81 | PCBAX | Blackrock Tactical | PairCorr |
| 0.81 | PCBSX | Blackrock Tactical | PairCorr |
The ability to find closely correlated positions to Astor Macro could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Astor Macro 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 Astor Macro - 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 Astor Macro Alternative to buy it.
The correlation of Astor Macro 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 Astor Macro moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Astor Macro Alternative 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 Astor Macro 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 Astor Macro Correlation, Astor Macro Volatility and Astor Macro Alpha and Beta module to complement your research on Astor Macro. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Astor Macro 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.