Alambic Small Backtesting

ALGSX -- USA Fund  

USD 9.07  0.30  3.20%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Alambic Small Cap Plus Fund and determine expected loss or profit from investing in Alambic Small over given investment horizon. Check also Alambic Small Hype Analysis, Alambic Small Correlation, Portfolio Optimization, Alambic Small Volatility as well as analyze Alambic Small Alpha and Beta and Alambic Small Performance.
Horizon     30 Days    Login   to change
SymbolX
Backtest

Alambic Small 'What if' Analysis

June 26, 2019
0.00
No Change 0.00  0.0%
In 2 months and 1 day
August 25, 2019
0.00
If you would invest  0.00  in Alambic Small on June 26, 2019 and sell it all today you would earn a total of 0.00 from holding Alambic Small Cap Plus Fund or generate 0.0% return on investment in Alambic Small over 60 days. Alambic Small is related to or competes with Fidelity Series, Delaware Small, BNY Mellon, BNY Mellon, PIMCO StocksPLUS, PIMCO StocksPLUS, and Principal Fds. The fund normally invests at least 80 percent of its net assets in equity of small capitalization companies, which the m...

Alambic Small Upside/Downside Indicators

Information Ratio(0.002324)
Maximum Drawdown9.1
Value At Risk(3.58)
Potential Upside2.49

Alambic Small Market Premium Indicators

Risk Adjusted Performance(0.04215)
Jensen Alpha0.0466
Total Risk Alpha0.0977
Treynor Ratio(0.07)

Alambic Small Cap Backtested Returns

Macroaxis considers Alambic Small to be slightly risky. Alambic Small Cap secures Sharpe Ratio (or Efficiency) of -0.0528 which signifies that the fund had -0.0528% of return per unit of standard deviation over the last 2 months. Macroaxis philosophy in foreseeing risk of any fund is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Alambic Small Cap Plus Fund exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm Alambic Small Cap Risk Adjusted Performance of (0.04215) and Mean Deviation of 1.41 to double-check risk estimate we provide. The organization shows Beta (market volatility) of 1.5094 which signifies that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Alambic Small will likely underperform. Even though it is essential to pay attention to Alambic Small Cap historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis philosophy in foreseeing future performance of any fund is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Alambic Small Cap Plus Fund exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.05) 
correlation synergy

Very weak reverse predictability

Alambic Small Cap Plus Fund has very weak reverse predictability. Overlapping area represents the amount of predictability between Alambic Small time series from June 26, 2019 to July 26, 2019 and July 26, 2019 to August 25, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Alambic Small Cap price movement. The serial correlation of -0.05 indicates that only as little as 5.0% of current Alambic Small price fluctuation can be explain by its past prices. Given that Alambic Small Cap Plus Fund has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Alambic Small for similar time interval.
Correlation Coefficient-0.05
Spearman Rank Test0.09
Residual Average0.0
Price Variance0.08

Alambic Small Cap lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Alambic Small regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Alambic Small Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - ALGSX

Alambic Small Cap Investor Sentiment

Macroaxis portfolio users are unresponsive in their sentiment towards investing in Alambic Small Cap Plus Fund. What is your sentiment towards investing in Alambic Small Cap Plus Fund? Are you bullish or bearish?
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Alambic Small Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Alambic Small and Fidelity Series Small. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also Alambic Small Hype Analysis, Alambic Small Correlation, Portfolio Optimization, Alambic Small Volatility as well as analyze Alambic Small Alpha and Beta and Alambic Small Performance. Please also try ETF Directory module to find actively-traded exchange traded funds (etf) from around the world.
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