Micro Gold Futures Commodity Volatility
| MGCUSD Commodity | 2,657 24.00 0.90% |
At this point, Micro Gold is very steady. Micro Gold Futures has Sharpe Ratio of 0.0828, which conveys that the entity had a 0.0828% return per unit of risk over the last 3 months. We have found thirty technical indicators for Micro Gold, which you can use to evaluate the volatility of the commodity. Please verify Micro Gold's Downside Deviation of 1.23, risk adjusted performance of 0.0636, and Mean Deviation of 0.7427 to check out if the risk estimate we provide is consistent with the expected return of 0.0835%.
Micro |
Micro Gold Commodity volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Micro daily returns, and it is calculated using variance and standard deviation. We also use Micro's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Micro Gold volatility.
Downward market volatility can be a perfect environment for commodity traders who play the long game. For example, an investor can purchase Micro Gold Futures that has halved in price over a short period. This will lower the average cost, improving your portfolio's performance when the markets normalize. Similarly, when the prices of micro gold's commodities rise, investors can sell out and invest the proceeds in other commodities with better opportunities.
Moving together with Micro Commodity
| 0.68 | META | Meta Platforms Aggressive Push | PairCorr |
Moving against Micro Commodity
Micro Gold Market Sensitivity And Downside Risk
Micro Gold's beta coefficient measures the volatility of Micro commodity compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Micro commodity's returns against your selected market. In other words, Micro Gold's beta of -0.0758 provides an investor with an approximation of how much risk Micro Gold commodity can potentially add to one of your existing portfolios. Micro Gold Futures has relatively low volatility with skewness of -1.25 and kurtosis of 2.48. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Micro Gold's commodity risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Micro Gold's commodity price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Micro Gold Futures Demand TrendCheck current 90 days Micro Gold correlation with market (Dow Jones Industrial)Micro Beta |
Micro standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.01 |
It is essential to understand the difference between upside risk (as represented by Micro Gold's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Micro Gold's daily returns or price. Since the actual investment returns on holding a position in micro commodity tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Micro Gold.
Micro Gold Futures Commodity Volatility Analysis
Volatility refers to the frequency at which Micro Gold commodity price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Micro Gold's price changes. Investors will then calculate the volatility of Micro Gold's commodity to predict their future moves. A commodity that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A commodity with relatively stable price changes has low volatility. A highly volatile commodity is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Micro Gold's volatility:
Historical Volatility
This type of commodity volatility measures Micro Gold's fluctuations based on previous trends. It's commonly used to predict Micro Gold's future behavior based on its past. However, it cannot conclusively determine the future direction of the commodity.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Micro Gold's current market price. This means that the commodity will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Micro Gold's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Micro Gold Futures Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Micro Gold Projected Return Density Against Market
Assuming the 90 days trading horizon Micro Gold Futures has a beta of -0.0758 . This indicates as returns on the benchmark increase, returns on holding Micro Gold are expected to decrease at a much lower rate. During a bear market, however, Micro Gold Futures is likely to outperform the market.Most traded commodities, like Micro Gold, are exposed to two types of risk: systematic (i.e., market-wide) and unsystematic (i.e., specific to the commodities market). Unsystematic risk pertains to events directly impacting Micro Gold Futures prices. This risk can be mitigated by diversifying investments across various commodities from different sectors that have low correlation with each other. Conversely, systematic risk involves price fluctuations due to broader commodity market trends and cannot be eliminated through diversification. Regardless of the number of commodities in your portfolio, market-wide risks persist. However, you can assess Micro Gold's historical responsiveness to market shifts to gauge your comfort with its price volatility. Beta and standard deviation are key metrics to guide this analysis.
Micro Gold Futures has an alpha of 0.0804, implying that it can generate a 0.0804 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Micro Gold Price Volatility?
Several factors can influence a commodity's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence prices due to increased presure on compliance that may impact the commodity's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence commodity prices. Everything from speeches to elections may influence investors, who can directly influence the prices in any particular industry.The Commodity's Performance
Sometimes volatility will only affect an individual commodity. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the commodity. This positive attention will raise the commodity's price.Micro Gold Commodity Risk Measures
Assuming the 90 days trading horizon the coefficient of variation of Micro Gold is 1207.56. The daily returns are distributed with a variance of 1.02 and standard deviation of 1.01. The mean deviation of Micro Gold Futures is currently at 0.74. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.08 | |
β | Beta against Dow Jones | -0.08 | |
σ | Overall volatility | 1.01 | |
Ir | Information ratio | -0.06 |
Micro Gold Commodity Return Volatility
Micro Gold historical daily return volatility represents how much of Micro Gold commodity's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. Micro Gold Futures assumes 1.008% volatility of returns over the 90 days investment horizon. By contrast, Dow Jones Industrial accepts 0.7444% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Micro Gold Investment Opportunity
Micro Gold Futures has a volatility of 1.01 and is 1.36 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Micro Gold Futures is lower than 8 percent of all global equities and portfolios over the last 90 days. You can use Micro Gold Futures to protect your portfolios against small market fluctuations. The commodity experiences a moderate downward daily trend and can be a good diversifier. Check odds of Micro Gold to be traded at 2603.86 in 90 days.Good diversification
The correlation between Micro Gold Futures and DJI is -0.06 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Micro Gold Futures and DJI in the same portfolio, assuming nothing else is changed.
Micro Gold Additional Risk Indicators
The analysis of Micro Gold's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Micro Gold's investment and either accepting that risk or mitigating it. Along with some common measures of Micro Gold commodity's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0636 | |||
| Market Risk Adjusted Performance | (0.92) | |||
| Mean Deviation | 0.7427 | |||
| Semi Deviation | 1.15 | |||
| Downside Deviation | 1.23 | |||
| Coefficient Of Variation | 1249.34 | |||
| Standard Deviation | 1.01 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential commoditys, we recommend comparing similar commoditys with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Micro Gold Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
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The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Micro Gold as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Micro Gold's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Micro Gold's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Micro Gold Futures.