Ab Discovery Value Fund Market Value
| ABCSX Fund | USD 20.77 0.04 0.19% |
| Symbol | ABCSX |
Ab Discovery '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 Ab Discovery'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 Ab Discovery.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Ab Discovery on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Ab Discovery Value or generate 0.0% return on investment in Ab Discovery over 30 days. Ab Discovery is related to or competes with Astor Long/short, Quantitative Longshort, Goldman Sachs, Old Westbury, Angel Oak, Vanguard Institutional, and Jhancock Short. The fund invests primarily in a diversified portfolio of equity securities of small- to mid-capitalization U.S More
Ab Discovery 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 Ab Discovery'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 Ab Discovery Value upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.965 | |||
| Information Ratio | 7.0E-4 | |||
| Maximum Drawdown | 5.95 | |||
| Value At Risk | (1.77) | |||
| Potential Upside | 1.7 |
Ab Discovery Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Ab Discovery's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Ab Discovery's standard deviation. In reality, there are many statistical measures that can use Ab Discovery historical prices to predict the future Ab Discovery's volatility.| Risk Adjusted Performance | 0.0892 | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | 8.0E-4 | |||
| Treynor Ratio | 0.0903 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Ab Discovery'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.
Ab Discovery Value Backtested Returns
At this stage we consider ABCSX Mutual Fund to be very steady. Ab Discovery Value retains Efficiency (Sharpe Ratio) of 0.15, which signifies that the fund had a 0.15% return per unit of price deviation over the last 3 months. We have found twenty-seven technical indicators for Ab Discovery, which you can use to evaluate the volatility of the entity. Please confirm Ab Discovery's Coefficient Of Variation of 890.73, market risk adjusted performance of 0.1003, and Standard Deviation of 1.12 to double-check if the risk estimate we provide is consistent with the expected return of 0.17%. The fund owns a Beta (Systematic Risk) of 1.29, which signifies a somewhat significant risk relative to the market. As the market goes up, the company is expected to outperform it. However, if the market returns are negative, Ab Discovery will likely underperform.
Auto-correlation | 0.87 |
Very good predictability
Ab Discovery Value has very good predictability. Overlapping area represents the amount of predictability between Ab Discovery time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th of November 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 Ab Discovery Value price movement. The serial correlation of 0.87 indicates that approximately 87.0% of current Ab Discovery price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.87 | |
| Spearman Rank Test | 0.61 | |
| Residual Average | 0.0 | |
| Price Variance | 0.16 |
Ab Discovery Value lagged returns against current returns
Autocorrelation, which is Ab Discovery 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 Ab Discovery's mutual fund expected returns. We can calculate the autocorrelation of Ab Discovery returns to help us make a trade decision. For example, suppose you find that Ab Discovery 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 |
Ab Discovery 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 Ab Discovery mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Ab Discovery mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Ab Discovery mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Ab Discovery Lagged Returns
When evaluating Ab Discovery's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Ab Discovery mutual fund have on its future price. Ab Discovery 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, Ab Discovery autocorrelation shows the relationship between Ab Discovery mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Ab Discovery Value.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in ABCSX Mutual Fund
Ab Discovery financial ratios help investors to determine whether ABCSX Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in ABCSX with respect to the benefits of owning Ab Discovery security.
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