Nasdaq 100 Commodity Market Value
| NQUSD Commodity | 21,428 56.00 0.26% |
| Symbol | Nasdaq |
Nasdaq 100 '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 Nasdaq 100'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 Nasdaq 100.
| 09/12/2024 |
| 12/11/2024 |
If you would invest 0.00 in Nasdaq 100 on September 12, 2024 and sell it all today you would earn a total of 0.00 from holding Nasdaq 100 or generate 0.0% return on investment in Nasdaq 100 over 90 days.
Nasdaq 100 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 Nasdaq 100'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 Nasdaq 100 upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.01 | |||
| Information Ratio | 0.076 | |||
| Maximum Drawdown | 5.18 | |||
| Value At Risk | (1.41) | |||
| Potential Upside | 1.58 |
Nasdaq 100 Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Nasdaq 100's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Nasdaq 100's standard deviation. In reality, there are many statistical measures that can use Nasdaq 100 historical prices to predict the future Nasdaq 100's volatility.| Risk Adjusted Performance | 0.1505 | |||
| Jensen Alpha | 0.176 | |||
| Total Risk Alpha | 0.0349 | |||
| Sortino Ratio | 0.0724 | |||
| Treynor Ratio | 1.81 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Nasdaq 100'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.
Nasdaq 100 Backtested Returns
At this point, Nasdaq 100 is very steady. Nasdaq 100 has Sharpe Ratio of 0.17, which conveys that the entity had a 0.17% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Nasdaq 100, which you can use to evaluate the volatility of the commodity. Please verify Nasdaq 100's Mean Deviation of 0.696, risk adjusted performance of 0.1505, and Downside Deviation of 1.01 to check out if the risk estimate we provide is consistent with the expected return of 0.16%. The commodity secures a Beta (Market Risk) of 0.1, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Nasdaq 100's returns are expected to increase less than the market. However, during the bear market, the loss of holding Nasdaq 100 is expected to be smaller as well.
Auto-correlation | 0.74 |
Good predictability
Nasdaq 100 has good predictability. Overlapping area represents the amount of predictability between Nasdaq 100 time series from 12th of September 2024 to 27th of October 2024 and 27th of October 2024 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 Nasdaq 100 price movement. The serial correlation of 0.74 indicates that around 74.0% of current Nasdaq 100 price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.74 | |
| Spearman Rank Test | 0.58 | |
| Residual Average | 0.0 | |
| Price Variance | 174.9 K |
Nasdaq 100 lagged returns against current returns
Autocorrelation, which is Nasdaq 100 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 Nasdaq 100's commodity expected returns. We can calculate the autocorrelation of Nasdaq 100 returns to help us make a trade decision. For example, suppose you find that Nasdaq 100 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 |
Nasdaq 100 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 Nasdaq 100 commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Nasdaq 100 commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Nasdaq 100 commodity over time.
Current vs Lagged Prices |
| Timeline |
Nasdaq 100 Lagged Returns
When evaluating Nasdaq 100's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Nasdaq 100 commodity have on its future price. Nasdaq 100 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, Nasdaq 100 autocorrelation shows the relationship between Nasdaq 100 commodity current value and its past values and can show if there is a momentum factor associated with investing in Nasdaq 100.
Regressed Prices |
| Timeline |