Feeder Cattle Futures Commodity Market Value
| GFUSX Commodity | 256.95 2.35 0.91% |
| Symbol | Feeder |
Feeder Cattle '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 Feeder Cattle'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 Feeder Cattle.
| 10/05/2024 |
| 12/04/2024 |
If you would invest 0.00 in Feeder Cattle on October 5, 2024 and sell it all today you would earn a total of 0.00 from holding Feeder Cattle Futures or generate 0.0% return on investment in Feeder Cattle over 60 days.
Feeder Cattle 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 Feeder Cattle'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 Feeder Cattle Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6229 | |||
| Information Ratio | 0.0045 | |||
| Maximum Drawdown | 3.28 | |||
| Value At Risk | (1.04) | |||
| Potential Upside | 1.03 |
Feeder Cattle Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Feeder Cattle's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Feeder Cattle's standard deviation. In reality, there are many statistical measures that can use Feeder Cattle historical prices to predict the future Feeder Cattle's volatility.| Risk Adjusted Performance | 0.1377 | |||
| Jensen Alpha | 0.0855 | |||
| Total Risk Alpha | 0.0202 | |||
| Sortino Ratio | 0.0046 | |||
| Treynor Ratio | 0.5297 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Feeder Cattle'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.
Feeder Cattle Futures Backtested Returns
At this stage we consider Feeder Commodity to be very steady. Feeder Cattle Futures secures Sharpe Ratio (or Efficiency) of 0.2, which denotes the commodity had a 0.2% return per unit of risk over the last 3 months. We have found thirty technical indicators for Feeder Cattle Futures, which you can use to evaluate the volatility of the entity. Please confirm Feeder Cattle's Mean Deviation of 0.4853, downside deviation of 0.6229, and Coefficient Of Variation of 546.18 to check if the risk estimate we provide is consistent with the expected return of 0.13%. The commodity shows a Beta (market volatility) of 0.2, which means not very significant fluctuations relative to the market. As returns on the market increase, Feeder Cattle's returns are expected to increase less than the market. However, during the bear market, the loss of holding Feeder Cattle is expected to be smaller as well.
Auto-correlation | -0.31 |
Poor reverse predictability
Feeder Cattle Futures has poor reverse predictability. Overlapping area represents the amount of predictability between Feeder Cattle time series from 5th of October 2024 to 4th of November 2024 and 4th of November 2024 to 4th 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 Feeder Cattle Futures price movement. The serial correlation of -0.31 indicates that nearly 31.0% of current Feeder Cattle price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.31 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 23.65 |
Feeder Cattle Futures lagged returns against current returns
Autocorrelation, which is Feeder Cattle 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 Feeder Cattle's commodity expected returns. We can calculate the autocorrelation of Feeder Cattle returns to help us make a trade decision. For example, suppose you find that Feeder Cattle 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 |
Feeder Cattle 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 Feeder Cattle commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Feeder Cattle commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Feeder Cattle commodity over time.
Current vs Lagged Prices |
| Timeline |
Feeder Cattle Lagged Returns
When evaluating Feeder Cattle's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Feeder Cattle commodity have on its future price. Feeder Cattle 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, Feeder Cattle autocorrelation shows the relationship between Feeder Cattle commodity current value and its past values and can show if there is a momentum factor associated with investing in Feeder Cattle Futures.
Regressed Prices |
| Timeline |