Abbey Capital Futures Fund Market Value
| ABYCX Fund | USD 10.46 0.02 0.19% |
| Symbol | Abbey |
Abbey Capital '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 Abbey Capital'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 Abbey Capital.
| 06/08/2023 |
| 11/29/2024 |
If you would invest 0.00 in Abbey Capital on June 8, 2023 and sell it all today you would earn a total of 0.00 from holding Abbey Capital Futures or generate 0.0% return on investment in Abbey Capital over 540 days. Abbey Capital is related to or competes with Aqr Managed, Pimco Trends, Pimco Trends, American Beacon, and Abbey Capital. The adviser allocates the funds assets between a Managed Futures strategy and a Fixed Income strategy More
Abbey Capital 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 Abbey Capital'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 Abbey Capital Futures upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.31) | |||
| Maximum Drawdown | 2.07 | |||
| Value At Risk | (0.86) | |||
| Potential Upside | 0.6686 |
Abbey Capital Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Abbey Capital's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Abbey Capital's standard deviation. In reality, there are many statistical measures that can use Abbey Capital historical prices to predict the future Abbey Capital's volatility.| Risk Adjusted Performance | (0.05) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.11) | |||
| Treynor Ratio | (0.12) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Abbey Capital'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.
Abbey Capital Futures Backtested Returns
Abbey Capital Futures secures Sharpe Ratio (or Efficiency) of -0.013, which signifies that the fund had a -0.013% return per unit of standard deviation over the last 3 months. Abbey Capital Futures exposes twenty-one different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Abbey Capital's risk adjusted performance of (0.05), and Mean Deviation of 0.3943 to double-check the risk estimate we provide. The fund shows a Beta (market volatility) of 0.3, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Abbey Capital's returns are expected to increase less than the market. However, during the bear market, the loss of holding Abbey Capital is expected to be smaller as well.
Auto-correlation | 0.51 |
Modest predictability
Abbey Capital Futures has modest predictability. Overlapping area represents the amount of predictability between Abbey Capital time series from 8th of June 2023 to 4th of March 2024 and 4th of March 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 Abbey Capital Futures price movement. The serial correlation of 0.51 indicates that about 51.0% of current Abbey Capital price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.51 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 0.15 |
Abbey Capital Futures lagged returns against current returns
Autocorrelation, which is Abbey Capital 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 Abbey Capital's mutual fund expected returns. We can calculate the autocorrelation of Abbey Capital returns to help us make a trade decision. For example, suppose you find that Abbey Capital 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 |
Abbey Capital 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 Abbey Capital mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Abbey Capital mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Abbey Capital mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Abbey Capital Lagged Returns
When evaluating Abbey Capital's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Abbey Capital mutual fund have on its future price. Abbey Capital 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, Abbey Capital autocorrelation shows the relationship between Abbey Capital mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Abbey Capital Futures.
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 Abbey Mutual Fund
Abbey Capital financial ratios help investors to determine whether Abbey 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 Abbey with respect to the benefits of owning Abbey Capital security.
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