Agf American Growth Fund Market Value
| AGF5036 Fund | 73.19 1.41 1.96% |
| Symbol | AGF |
AGF American '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 AGF American's 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 AGF American.
| 12/08/2024 |
| 01/07/2025 |
If you would invest 0.00 in AGF American on December 8, 2024 and sell it all today you would earn a total of 0.00 from holding AGF American Growth or generate 0.0% return on investment in AGF American over 30 days.
AGF American 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 AGF American's 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 AGF American Growth upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9715 | |||
| Information Ratio | 0.1368 | |||
| Maximum Drawdown | 5.87 | |||
| Value At Risk | (1.38) | |||
| Potential Upside | 1.96 |
AGF American Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for AGF American's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as AGF American's standard deviation. In reality, there are many statistical measures that can use AGF American historical prices to predict the future AGF American's volatility.| Risk Adjusted Performance | 0.1351 | |||
| Jensen Alpha | 0.1549 | |||
| Total Risk Alpha | 0.1345 | |||
| Sortino Ratio | 0.1432 | |||
| Treynor Ratio | 1.24 |
AGF American Growth Backtested Returns
At this point, AGF American is very steady. AGF American Growth secures Sharpe Ratio (or Efficiency) of 0.16, which signifies that the fund had a 0.16% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for AGF American Growth, which you can use to evaluate the volatility of the entity. Please confirm AGF American's Downside Deviation of 0.9715, mean deviation of 0.7726, and Risk Adjusted Performance of 0.1351 to double-check if the risk estimate we provide is consistent with the expected return of 0.17%. The fund shows a Beta (market volatility) of 0.13, which signifies not very significant fluctuations relative to the market. As returns on the market increase, AGF American's returns are expected to increase less than the market. However, during the bear market, the loss of holding AGF American is expected to be smaller as well.
Auto-correlation | -0.62 |
Very good reverse predictability
AGF American Growth has very good reverse predictability. Overlapping area represents the amount of predictability between AGF American time series from 8th of December 2024 to 23rd of December 2024 and 23rd of December 2024 to 7th of January 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of AGF American Growth price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current AGF American price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | -0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 0.59 |
AGF American Growth lagged returns against current returns
Autocorrelation, which is AGF American 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 AGF American's fund expected returns. We can calculate the autocorrelation of AGF American returns to help us make a trade decision. For example, suppose you find that AGF American has exhibited high autocorrelation historically, and you observe that the 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 |
AGF American 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 AGF American fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if AGF American fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in AGF American fund over time.
Current vs Lagged Prices |
| Timeline |
AGF American Lagged Returns
When evaluating AGF American's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of AGF American fund have on its future price. AGF American 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, AGF American autocorrelation shows the relationship between AGF American fund current value and its past values and can show if there is a momentum factor associated with investing in AGF American Growth.
Regressed Prices |
| Timeline |
Pair Trading with AGF American
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 AGF American 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 AGF American will appreciate offsetting losses from the drop in the long position's value.The ability to find closely correlated positions to AGF American could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace AGF American 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 AGF American - 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 AGF American Growth to buy it.
The correlation of AGF American 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 AGF American moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if AGF American Growth 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 AGF American 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.| AI Portfolio Architect Use AI to generate optimal portfolios and find profitable investment opportunities | |
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