Five Year Treasury Note Commodity Market Value
| ZFUSD Commodity | 107.18 0.05 0.05% |
| Symbol | Five |
Five Year '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 Five Year'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 Five Year.
| 10/30/2024 |
| 11/29/2024 |
If you would invest 0.00 in Five Year on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Five Year Treasury Note or generate 0.0% return on investment in Five Year over 30 days.
Five Year 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 Five Year'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 Five Year Treasury Note upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.71) | |||
| Maximum Drawdown | 1.13 | |||
| Value At Risk | (0.35) | |||
| Potential Upside | 0.2998 |
Five Year Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Five Year's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Five Year's standard deviation. In reality, there are many statistical measures that can use Five Year historical prices to predict the future Five Year's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.07) | |||
| Treynor Ratio | (0.99) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Five Year'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.
Five Year Treasury Backtested Returns
Five Year Treasury secures Sharpe Ratio (or Efficiency) of -0.11, which denotes the commodity had a -0.11% return per unit of risk over the last 3 months. Five Year Treasury Note exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Five Year's Mean Deviation of 0.1663, standard deviation of 0.2126, and Variance of 0.0452 to check the risk estimate we provide. The commodity shows a Beta (market volatility) of 0.0362, which means not very significant fluctuations relative to the market. As returns on the market increase, Five Year's returns are expected to increase less than the market. However, during the bear market, the loss of holding Five Year is expected to be smaller as well.
Auto-correlation | -0.73 |
Almost perfect reverse predictability
Five Year Treasury Note has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Five Year 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 Five Year Treasury price movement. The serial correlation of -0.73 indicates that around 73.0% of current Five Year price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.73 | |
| Spearman Rank Test | -0.56 | |
| Residual Average | 0.0 | |
| Price Variance | 0.07 |
Five Year Treasury lagged returns against current returns
Autocorrelation, which is Five Year 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 Five Year's commodity expected returns. We can calculate the autocorrelation of Five Year returns to help us make a trade decision. For example, suppose you find that Five Year 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 |
Five Year 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 Five Year commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Five Year commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Five Year commodity over time.
Current vs Lagged Prices |
| Timeline |
Five Year Lagged Returns
When evaluating Five Year's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Five Year commodity have on its future price. Five Year 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, Five Year autocorrelation shows the relationship between Five Year commodity current value and its past values and can show if there is a momentum factor associated with investing in Five Year Treasury Note.
Regressed Prices |
| Timeline |