Absolute Convertible Arbitrage Fund Market Value
| ARBOX Fund | USD 11.24 0.01 0.09% |
| Symbol | Absolute |
Absolute Convertible '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 Absolute Convertible'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 Absolute Convertible.
| 04/23/2024 |
| 05/23/2024 |
If you would invest 0.00 in Absolute Convertible on April 23, 2024 and sell it all today you would earn a total of 0.00 from holding Absolute Convertible Arbitrage or generate 0.0% return on investment in Absolute Convertible over 30 days. Absolute Convertible is related to or competes with Calamos Market, Calamos Market, Calamos Market, Calamos Market, Aqr Diversified, Aqr Diversified, and Absolute Convertible. The fund invests primarily in a diversified portfolio of convertible securities issued by both U.S More
Absolute Convertible 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 Absolute Convertible'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 Absolute Convertible Arbitrage upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.80) | |||
| Maximum Drawdown | 0.2712 | |||
| Value At Risk | (0.09) | |||
| Potential Upside | 0.0907 |
Absolute Convertible Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Absolute Convertible's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Absolute Convertible's standard deviation. In reality, there are many statistical measures that can use Absolute Convertible historical prices to predict the future Absolute Convertible's volatility.| Risk Adjusted Performance | 0.2023 | |||
| Jensen Alpha | 0.0185 | |||
| Total Risk Alpha | 0.0129 | |||
| Treynor Ratio | 0.8956 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Absolute Convertible'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.
Absolute Convertible Backtested Returns
We consider Absolute Convertible very steady. Absolute Convertible secures Sharpe Ratio (or Efficiency) of 0.52, which signifies that the fund had a 0.52% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for Absolute Convertible Arbitrage, which you can use to evaluate the volatility of the entity. Please confirm Absolute Convertible's Standard Deviation of 0.0597, mean deviation of 0.0509, and Risk Adjusted Performance of 0.2023 to double-check if the risk estimate we provide is consistent with the expected return of 0.0314%. The fund shows a Beta (market volatility) of 0.0223, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Absolute Convertible's returns are expected to increase less than the market. However, during the bear market, the loss of holding Absolute Convertible is expected to be smaller as well.
Auto-correlation | 0.75 |
Good predictability
Absolute Convertible Arbitrage has good predictability. Overlapping area represents the amount of predictability between Absolute Convertible time series from 23rd of April 2024 to 8th of May 2024 and 8th of May 2024 to 23rd 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 Absolute Convertible price movement. The serial correlation of 0.75 indicates that around 75.0% of current Absolute Convertible price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.75 | |
| Spearman Rank Test | 1.0 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Absolute Convertible lagged returns against current returns
Autocorrelation, which is Absolute Convertible 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 Absolute Convertible's mutual fund expected returns. We can calculate the autocorrelation of Absolute Convertible returns to help us make a trade decision. For example, suppose you find that Absolute Convertible 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 |
Absolute Convertible 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 Absolute Convertible mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Absolute Convertible mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Absolute Convertible mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Absolute Convertible Lagged Returns
When evaluating Absolute Convertible's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Absolute Convertible mutual fund have on its future price. Absolute Convertible 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, Absolute Convertible autocorrelation shows the relationship between Absolute Convertible mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Absolute Convertible Arbitrage.
Regressed Prices |
| Timeline |
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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.Check out Absolute Convertible Correlation, Absolute Convertible Volatility and Absolute Convertible Alpha and Beta module to complement your research on Absolute Convertible. You can also try the USA ETFs module to find actively traded Exchange Traded Funds (ETF) in USA.
Absolute Convertible 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.