Lyxor Commodities (France) Market Value
| CRB Etf | EUR 23.14 0.37 1.62% |
| Symbol | Lyxor |
Lyxor Commodities '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 Lyxor Commodities' etf 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 Lyxor Commodities.
| 12/22/2022 |
| 12/11/2024 |
If you would invest 0.00 in Lyxor Commodities on December 22, 2022 and sell it all today you would earn a total of 0.00 from holding Lyxor Commodities RefinitivCoreCommodity or generate 0.0% return on investment in Lyxor Commodities over 720 days. Lyxor Commodities is related to or competes with Lyxor MSCI, Multi Units, Lyxor UCITS, Multi Units, and Multi Units. The Lyxor Commodities Thomson ReutersCoreCommodity CRB TR UCITS ETF is a UCITS compliant exchange traded fund that aims ... More
Lyxor Commodities 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 Lyxor Commodities' etf 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 Lyxor Commodities RefinitivCoreCommodity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.05 | |||
| Information Ratio | 0.0295 | |||
| Maximum Drawdown | 5.16 | |||
| Value At Risk | (1.33) | |||
| Potential Upside | 1.63 |
Lyxor Commodities Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lyxor Commodities' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lyxor Commodities' standard deviation. In reality, there are many statistical measures that can use Lyxor Commodities historical prices to predict the future Lyxor Commodities' volatility.| Risk Adjusted Performance | 0.116 | |||
| Jensen Alpha | 0.1418 | |||
| Total Risk Alpha | (0.01) | |||
| Sortino Ratio | 0.0275 | |||
| Treynor Ratio | 10.77 |
Lyxor Commodities Backtested Returns
At this point, Lyxor Commodities is very steady. Lyxor Commodities has Sharpe Ratio of 0.11, which conveys that the entity had a 0.11% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Lyxor Commodities, which you can use to evaluate the volatility of the etf. Please verify Lyxor Commodities' Downside Deviation of 1.05, risk adjusted performance of 0.116, and Mean Deviation of 0.7403 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. The etf secures a Beta (Market Risk) of 0.0133, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Lyxor Commodities' returns are expected to increase less than the market. However, during the bear market, the loss of holding Lyxor Commodities is expected to be smaller as well.
Auto-correlation | -0.7 |
Very good reverse predictability
Lyxor Commodities RefinitivCoreCommodity has very good reverse predictability. Overlapping area represents the amount of predictability between Lyxor Commodities time series from 22nd of December 2022 to 17th of December 2023 and 17th of December 2023 to 11th 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 Lyxor Commodities price movement. The serial correlation of -0.7 indicates that around 70.0% of current Lyxor Commodities price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.7 | |
| Spearman Rank Test | 0.04 | |
| Residual Average | 0.0 | |
| Price Variance | 1.19 |
Lyxor Commodities lagged returns against current returns
Autocorrelation, which is Lyxor Commodities etf'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 Lyxor Commodities' etf expected returns. We can calculate the autocorrelation of Lyxor Commodities returns to help us make a trade decision. For example, suppose you find that Lyxor Commodities has exhibited high autocorrelation historically, and you observe that the etf 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 |
Lyxor Commodities 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 Lyxor Commodities etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lyxor Commodities etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lyxor Commodities etf over time.
Current vs Lagged Prices |
| Timeline |
Lyxor Commodities Lagged Returns
When evaluating Lyxor Commodities' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lyxor Commodities etf have on its future price. Lyxor Commodities 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, Lyxor Commodities autocorrelation shows the relationship between Lyxor Commodities etf current value and its past values and can show if there is a momentum factor associated with investing in Lyxor Commodities RefinitivCoreCommodity.
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 Lyxor Etf
Lyxor Commodities financial ratios help investors to determine whether Lyxor Etf 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 Lyxor with respect to the benefits of owning Lyxor Commodities security.