The Arbitrage Fund Market Value
| ARBCX Fund | USD 11.90 0.02 0.17% |
| Symbol | Arbitrage |
Arbitrage Fund '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 Arbitrage Fund'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 Arbitrage Fund.
| 10/13/2024 |
| 11/12/2024 |
If you would invest 0.00 in Arbitrage Fund on October 13, 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 Arbitrage Fund over 30 days. Arbitrage Fund is related to or competes with Arbitrage Fund, Arbitrage Credit, Arbitrage Credit, Arbitrage Event, and Arbitrage Credit. The fund will invest at least 80 percent of its net assets in equity securities of companies that are involved in public... More
Arbitrage Fund 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 Arbitrage Fund'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.
| Downside Deviation | 0.2658 | |||
| Information Ratio | (0.72) | |||
| Maximum Drawdown | 0.8467 | |||
| Value At Risk | (0.25) | |||
| Potential Upside | 0.2545 |
Arbitrage Fund Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Arbitrage Fund's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Arbitrage Fund's standard deviation. In reality, there are many statistical measures that can use Arbitrage Fund historical prices to predict the future Arbitrage Fund's volatility.| Risk Adjusted Performance | 0.0383 | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | (0.60) | |||
| Treynor Ratio | 0.0558 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Arbitrage Fund'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.
Arbitrage Fund Backtested Returns
At this stage we consider Arbitrage Mutual Fund to be very steady. Arbitrage Fund secures Sharpe Ratio (or Efficiency) of 0.0369, which signifies that the fund had a 0.0369% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for The Arbitrage Fund, which you can use to evaluate the volatility of the entity. Please confirm Arbitrage Fund's Semi Deviation of 0.1666, mean deviation of 0.16, and Risk Adjusted Performance of 0.0383 to double-check if the risk estimate we provide is consistent with the expected return of 0.0081%. The fund shows a Beta (market volatility) of 0.15, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Arbitrage Fund's returns are expected to increase less than the market. However, during the bear market, the loss of holding Arbitrage Fund is expected to be smaller as well.
Auto-correlation | -0.35 |
Poor reverse predictability
The Arbitrage Fund has poor reverse predictability. Overlapping area represents the amount of predictability between Arbitrage Fund time series from 13th of October 2024 to 28th of October 2024 and 28th of October 2024 to 12th of November 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 Arbitrage Fund price movement. The serial correlation of -0.35 indicates that nearly 35.0% of current Arbitrage Fund price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.35 | |
| Spearman Rank Test | -0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Arbitrage Fund lagged returns against current returns
Autocorrelation, which is Arbitrage Fund 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 Arbitrage Fund's mutual fund expected returns. We can calculate the autocorrelation of Arbitrage Fund returns to help us make a trade decision. For example, suppose you find that Arbitrage Fund 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 |
Arbitrage Fund 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 Arbitrage Fund mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Arbitrage Fund mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Arbitrage Fund mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Arbitrage Fund Lagged Returns
When evaluating Arbitrage Fund's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Arbitrage Fund mutual fund have on its future price. Arbitrage Fund 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, Arbitrage Fund autocorrelation shows the relationship between Arbitrage Fund 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 Arbitrage Mutual Fund
Arbitrage Fund financial ratios help investors to determine whether Arbitrage 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 Arbitrage with respect to the benefits of owning Arbitrage Fund security.
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