Touchstone Arbitrage Fund Market Value
| TMARX Fund | USD 8.89 0.01 0.11% |
| Symbol | Touchstone |
Touchstone 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 Touchstone 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 Touchstone Arbitrage.
| 04/24/2023 |
| 04/18/2024 |
If you would invest 0.00 in Touchstone Arbitrage on April 24, 2023 and sell it all today you would earn a total of 0.00 from holding Touchstone Arbitrage Fund or generate 0.0% return on investment in Touchstone Arbitrage over 360 days. Touchstone Arbitrage is related to or competes with Vanguard High, Blackrock, American Funds, American Funds, and American High. The fund invests, under normal circumstances, at least 80 percent of its assets in U.S More
Touchstone 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 Touchstone 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 Touchstone Arbitrage Fund upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.3369 | |||
| Information Ratio | (0.25) | |||
| Maximum Drawdown | 1.22 | |||
| Value At Risk | (0.44) | |||
| Potential Upside | 0.2257 |
Touchstone Arbitrage Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Touchstone Arbitrage's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Touchstone Arbitrage's standard deviation. In reality, there are many statistical measures that can use Touchstone Arbitrage historical prices to predict the future Touchstone Arbitrage's volatility.| Risk Adjusted Performance | (0.02) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.03) | |||
| Sortino Ratio | (0.16) | |||
| Treynor Ratio | (0.05) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Touchstone 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.
Touchstone Arbitrage Backtested Returns
We consider Touchstone Arbitrage very steady. Touchstone Arbitrage owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.051, which indicates the fund had a 0.051% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Touchstone Arbitrage Fund, which you can use to evaluate the volatility of the fund. Please validate Touchstone Arbitrage's Risk Adjusted Performance of (0.02), semi deviation of 0.231, and Coefficient Of Variation of 91271.55 to confirm if the risk estimate we provide is consistent with the expected return of 0.011%. The entity has a beta of 0.2, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Touchstone Arbitrage's returns are expected to increase less than the market. However, during the bear market, the loss of holding Touchstone Arbitrage is expected to be smaller as well.
Auto-correlation | 0.86 |
Very good predictability
Touchstone Arbitrage Fund has very good predictability. Overlapping area represents the amount of predictability between Touchstone Arbitrage time series from 24th of April 2023 to 21st of October 2023 and 21st of October 2023 to 18th of April 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 Touchstone Arbitrage price movement. The serial correlation of 0.86 indicates that approximately 86.0% of current Touchstone Arbitrage price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.86 | |
| Spearman Rank Test | 0.79 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Touchstone Arbitrage lagged returns against current returns
Autocorrelation, which is Touchstone 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 Touchstone Arbitrage's mutual fund expected returns. We can calculate the autocorrelation of Touchstone Arbitrage returns to help us make a trade decision. For example, suppose you find that Touchstone 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 |
Touchstone 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 Touchstone Arbitrage mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Touchstone 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 Touchstone Arbitrage mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Touchstone Arbitrage Lagged Returns
When evaluating Touchstone Arbitrage's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Touchstone Arbitrage mutual fund have on its future price. Touchstone 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, Touchstone Arbitrage autocorrelation shows the relationship between Touchstone Arbitrage mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Touchstone Arbitrage Fund.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Touchstone Arbitrage in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Touchstone Arbitrage's short interest history, or implied volatility extrapolated from Touchstone Arbitrage options trading.
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Check out Touchstone Arbitrage Correlation, Touchstone Arbitrage Volatility and Touchstone Arbitrage Alpha and Beta module to complement your research on Touchstone Arbitrage. You can also try the Odds Of Bankruptcy module to get analysis of equity chance of financial distress in the next 2 years.
Touchstone Arbitrage 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.