Crude Oil Commodity Market Value
| CLUSD Commodity | 68.88 0.16 0.23% |
| Symbol | Crude |
Crude Oil '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 Crude Oil's commodity 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 Crude Oil.
| 05/09/2023 |
| 11/29/2024 |
If you would invest 0.00 in Crude Oil on May 9, 2023 and sell it all today you would earn a total of 0.00 from holding Crude Oil or generate 0.0% return on investment in Crude Oil over 570 days.
Crude Oil 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 Crude Oil's commodity 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 Crude Oil upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 11.28 | |||
| Value At Risk | (4.40) | |||
| Potential Upside | 3.19 |
Crude Oil Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Crude Oil's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Crude Oil's standard deviation. In reality, there are many statistical measures that can use Crude Oil historical prices to predict the future Crude Oil's volatility.| Risk Adjusted Performance | (0.03) | |||
| Jensen Alpha | (0.16) | |||
| Total Risk Alpha | (0.48) | |||
| Treynor Ratio | (0.62) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Crude Oil'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.
Crude Oil Backtested Returns
Crude Oil secures Sharpe Ratio (or Efficiency) of -0.0379, which signifies that the commodity had a -0.0379% return per unit of risk over the last 3 months. Crude Oil exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Crude Oil's Risk Adjusted Performance of (0.03), mean deviation of 1.76, and Standard Deviation of 2.29 to double-check the risk estimate we provide. The commodity shows a Beta (market volatility) of 0.21, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Crude Oil's returns are expected to increase less than the market. However, during the bear market, the loss of holding Crude Oil is expected to be smaller as well.
Auto-correlation | 0.21 |
Weak predictability
Crude Oil has weak predictability. Overlapping area represents the amount of predictability between Crude Oil time series from 9th of May 2023 to 18th of February 2024 and 18th of February 2024 to 29th 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 Crude Oil price movement. The serial correlation of 0.21 indicates that over 21.0% of current Crude Oil price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.21 | |
| Spearman Rank Test | -0.19 | |
| Residual Average | 0.0 | |
| Price Variance | 27.65 |
Crude Oil lagged returns against current returns
Autocorrelation, which is Crude Oil commodity'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 Crude Oil's commodity expected returns. We can calculate the autocorrelation of Crude Oil returns to help us make a trade decision. For example, suppose you find that Crude Oil has exhibited high autocorrelation historically, and you observe that the commodity 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 |
Crude Oil 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 Crude Oil commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Crude Oil commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Crude Oil commodity over time.
Current vs Lagged Prices |
| Timeline |
Crude Oil Lagged Returns
When evaluating Crude Oil's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Crude Oil commodity have on its future price. Crude Oil 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, Crude Oil autocorrelation shows the relationship between Crude Oil commodity current value and its past values and can show if there is a momentum factor associated with investing in Crude Oil.
Regressed Prices |
| Timeline |