10 Year T Note Futures Commodity Market Value
| ZNUSD Commodity | 110.67 0.34 0.31% |
| Symbol | ZNUSD |
10 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 10 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 10 Year.
| 12/09/2022 |
| 11/28/2024 |
If you would invest 0.00 in 10 Year on December 9, 2022 and sell it all today you would earn a total of 0.00 from holding 10 Year T Note Futures or generate 0.0% return on investment in 10 Year over 720 days.
10 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 10 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 10 Year T Note Futures upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.55) | |||
| Maximum Drawdown | 1.42 | |||
| Value At Risk | (0.45) | |||
| Potential Upside | 0.4847 |
10 Year Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 10 Year's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 10 Year's standard deviation. In reality, there are many statistical measures that can use 10 Year historical prices to predict the future 10 Year's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.04) | |||
| Total Risk Alpha | (0.10) | |||
| Treynor Ratio | 0.5964 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of 10 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.
10 Year T Backtested Returns
10 Year T retains Efficiency (Sharpe Ratio) of -0.1, which signifies that the commodity had a -0.1% return per unit of price deviation over the last 3 months. 10 Year exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm 10 Year's Market Risk Adjusted Performance of 0.6064, variance of 0.0989, and Information Ratio of (0.55) to double-check the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.0872, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning 10 Year are expected to decrease at a much lower rate. During the bear market, 10 Year is likely to outperform the market.
Auto-correlation | -0.54 |
Good reverse predictability
10 Year T Note Futures has good reverse predictability. Overlapping area represents the amount of predictability between 10 Year time series from 9th of December 2022 to 4th of December 2023 and 4th of December 2023 to 28th 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 10 Year T price movement. The serial correlation of -0.54 indicates that about 54.0% of current 10 Year price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.54 | |
| Spearman Rank Test | -0.09 | |
| Residual Average | 0.0 | |
| Price Variance | 3.51 |
10 Year T lagged returns against current returns
Autocorrelation, which is 10 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 10 Year's commodity expected returns. We can calculate the autocorrelation of 10 Year returns to help us make a trade decision. For example, suppose you find that 10 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 |
10 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 10 Year commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 10 Year commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 10 Year commodity over time.
Current vs Lagged Prices |
| Timeline |
10 Year Lagged Returns
When evaluating 10 Year's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 10 Year commodity have on its future price. 10 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, 10 Year autocorrelation shows the relationship between 10 Year commodity current value and its past values and can show if there is a momentum factor associated with investing in 10 Year T Note Futures.
Regressed Prices |
| Timeline |