Micro E Mini Russell Commodity Market Value
| RTYUSD Commodity | 2,455 20.60 0.85% |
| Symbol | Micro |
Micro E '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 Micro E'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 Micro E.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Micro E on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Micro E mini Russell or generate 0.0% return on investment in Micro E over 30 days.
Micro E 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 Micro E'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 Micro E mini Russell upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.16 | |||
| Information Ratio | 0.0321 | |||
| Maximum Drawdown | 7.61 | |||
| Value At Risk | (1.72) | |||
| Potential Upside | 2.05 |
Micro E Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Micro E's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Micro E's standard deviation. In reality, there are many statistical measures that can use Micro E historical prices to predict the future Micro E's volatility.| Risk Adjusted Performance | 0.1021 | |||
| Jensen Alpha | 0.1553 | |||
| Total Risk Alpha | (0.04) | |||
| Sortino Ratio | 0.0363 | |||
| Treynor Ratio | 8.69 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Micro E'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.
Micro E mini Backtested Returns
Micro E appears to be very steady, given 3 months investment horizon. Micro E mini 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 Micro E, which you can use to evaluate the volatility of the commodity. Please exercise Micro E's Risk Adjusted Performance of 0.1021, mean deviation of 0.9248, and Downside Deviation of 1.16 to check out if our risk estimates are consistent with your expectations. The commodity secures a Beta (Market Risk) of 0.0181, which conveys not very significant fluctuations relative to the market. As returns on the market increase, Micro E's returns are expected to increase less than the market. However, during the bear market, the loss of holding Micro E is expected to be smaller as well.
Auto-correlation | 0.90 |
Excellent predictability
Micro E mini Russell has excellent predictability. Overlapping area represents the amount of predictability between Micro E time series from 30th of October 2024 to 14th of November 2024 and 14th of November 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 Micro E mini price movement. The serial correlation of 0.9 indicates that approximately 90.0% of current Micro E price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.9 | |
| Spearman Rank Test | 0.65 | |
| Residual Average | 0.0 | |
| Price Variance | 2796.51 |
Micro E mini lagged returns against current returns
Autocorrelation, which is Micro E 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 Micro E's commodity expected returns. We can calculate the autocorrelation of Micro E returns to help us make a trade decision. For example, suppose you find that Micro E 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 |
Micro E 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 Micro E commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Micro E commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Micro E commodity over time.
Current vs Lagged Prices |
| Timeline |
Micro E Lagged Returns
When evaluating Micro E's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Micro E commodity have on its future price. Micro E 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, Micro E autocorrelation shows the relationship between Micro E commodity current value and its past values and can show if there is a momentum factor associated with investing in Micro E mini Russell.
Regressed Prices |
| Timeline |