The Arbitrage Fund Market Value
| ARBCX Fund | USD 11.85 0.06 0.50% |
| Symbol | The |
The Arbitrage '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 The Arbitrage'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 The Arbitrage.
| 06/07/2024 |
| 12/04/2024 |
If you would invest 0.00 in The Arbitrage on June 7, 2024 and sell it all today you would earn a total of 0.00 from holding The Arbitrage Fund or generate 0.0% return on investment in The Arbitrage over 180 days. The Arbitrage is related to or competes with Ms Global, Rational/pier, T Rowe, The National, Gmo High, and Ultra-short Fixed. The fund will invest at least 80 percent of its net assets in equity securities of companies that are involved in public... More
The Arbitrage 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 The Arbitrage'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 The Arbitrage Fund upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.51) | |||
| Maximum Drawdown | 1.34 | |||
| Value At Risk | (0.34) | |||
| Potential Upside | 0.2547 |
The Arbitrage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for The Arbitrage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as The Arbitrage's standard deviation. In reality, there are many statistical measures that can use The Arbitrage historical prices to predict the future The Arbitrage's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.04) | |||
| Treynor Ratio | (0.07) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of The Arbitrage'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.
The Arbitrage Backtested Returns
At this stage we consider The Mutual Fund to be very steady. The Arbitrage owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0765, which indicates the fund had a 0.0765% return per unit of risk over the last 3 months. We have found twenty-two technical indicators for The Arbitrage Fund, which you can use to evaluate the volatility of the fund. Please validate The Arbitrage's Coefficient Of Variation of (21,954), variance of 0.0509, and Risk Adjusted Performance of (0.03) to confirm if the risk estimate we provide is consistent with the expected return of 0.0161%. The entity has a beta of 0.16, which indicates not very significant fluctuations relative to the market. As returns on the market increase, the Arbitrage's returns are expected to increase less than the market. However, during the bear market, the loss of holding the Arbitrage is expected to be smaller as well.
Auto-correlation | 0.53 |
Modest predictability
The Arbitrage Fund has modest predictability. Overlapping area represents the amount of predictability between The Arbitrage time series from 7th of June 2024 to 5th of September 2024 and 5th of September 2024 to 4th of December 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 The Arbitrage price movement. The serial correlation of 0.53 indicates that about 53.0% of current The Arbitrage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.53 | |
| Spearman Rank Test | 0.46 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
The Arbitrage lagged returns against current returns
Autocorrelation, which is The Arbitrage 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 The Arbitrage's mutual fund expected returns. We can calculate the autocorrelation of The Arbitrage returns to help us make a trade decision. For example, suppose you find that The Arbitrage 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 |
The Arbitrage 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 The Arbitrage mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if The Arbitrage mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in The Arbitrage mutual fund over time.
Current vs Lagged Prices |
| Timeline |
The Arbitrage Lagged Returns
When evaluating The Arbitrage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of The Arbitrage mutual fund have on its future price. The Arbitrage 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, The Arbitrage autocorrelation shows the relationship between The Arbitrage mutual fund current value and its past values and can show if there is a momentum factor associated with investing in The Arbitrage Fund.
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 The Mutual Fund
The Arbitrage financial ratios help investors to determine whether The 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 The with respect to the benefits of owning The Arbitrage security.
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