Class Iii Milk Commodity Market Value
| DCUSD Commodity | 18.52 1.35 6.79% |
| Symbol | Class |
Class III '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 Class III'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 Class III.
| 08/31/2024 |
| 11/29/2024 |
If you would invest 0.00 in Class III on August 31, 2024 and sell it all today you would earn a total of 0.00 from holding Class III Milk or generate 0.0% return on investment in Class III over 90 days.
Class III 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 Class III'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 Class III Milk upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.16) | |||
| Maximum Drawdown | 21.45 | |||
| Value At Risk | (1.44) | |||
| Potential Upside | 0.8218 |
Class III Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Class III's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Class III's standard deviation. In reality, there are many statistical measures that can use Class III historical prices to predict the future Class III's volatility.| Risk Adjusted Performance | (0.07) | |||
| Jensen Alpha | (0.26) | |||
| Total Risk Alpha | (0.57) | |||
| Treynor Ratio | (0.96) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Class III'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.
Class III Milk Backtested Returns
Class III Milk secures Sharpe Ratio (or Efficiency) of -0.1, which signifies that the commodity had a -0.1% return per unit of standard deviation over the last 3 months. Class III Milk exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Class III's risk adjusted performance of (0.07), and Mean Deviation of 0.8825 to double-check the risk estimate we provide. The commodity shows a Beta (market volatility) of 0.25, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Class III's returns are expected to increase less than the market. However, during the bear market, the loss of holding Class III is expected to be smaller as well.
Auto-correlation | -0.42 |
Modest reverse predictability
Class III Milk has modest reverse predictability. Overlapping area represents the amount of predictability between Class III time series from 31st of August 2024 to 15th of October 2024 and 15th of October 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 Class III Milk price movement. The serial correlation of -0.42 indicates that just about 42.0% of current Class III price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.42 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 1.48 |
Class III Milk lagged returns against current returns
Autocorrelation, which is Class III 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 Class III's commodity expected returns. We can calculate the autocorrelation of Class III returns to help us make a trade decision. For example, suppose you find that Class III 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 |
Class III 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 Class III commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Class III commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Class III commodity over time.
Current vs Lagged Prices |
| Timeline |
Class III Lagged Returns
When evaluating Class III's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Class III commodity have on its future price. Class III 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, Class III autocorrelation shows the relationship between Class III commodity current value and its past values and can show if there is a momentum factor associated with investing in Class III Milk.
Regressed Prices |
| Timeline |