Aluminum Futures Commodity Market Value
| ALIUSD Commodity | 2,600 29.75 1.16% |
| Symbol | Aluminum |
Aluminum Futures '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 Aluminum Futures' 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 Aluminum Futures.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Aluminum Futures on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Aluminum Futures or generate 0.0% return on investment in Aluminum Futures over 30 days.
Aluminum Futures 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 Aluminum Futures' 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 Aluminum Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.57 | |||
| Information Ratio | (0) | |||
| Maximum Drawdown | 7.64 | |||
| Value At Risk | (2.48) | |||
| Potential Upside | 3.44 |
Aluminum Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Aluminum Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Aluminum Futures' standard deviation. In reality, there are many statistical measures that can use Aluminum Futures historical prices to predict the future Aluminum Futures' volatility.| Risk Adjusted Performance | 0.0595 | |||
| Jensen Alpha | 0.1356 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0) | |||
| Treynor Ratio | (0.66) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Aluminum Futures' 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.
Aluminum Futures Backtested Returns
At this point, Aluminum Futures is very steady. Aluminum Futures secures Sharpe Ratio (or Efficiency) of 0.0697, which signifies that the commodity had a 0.0697% return per unit of risk over the last 3 months. We have found thirty technical indicators for Aluminum Futures, which you can use to evaluate the volatility of the entity. Please confirm Aluminum Futures' Downside Deviation of 1.57, risk adjusted performance of 0.0595, and Mean Deviation of 1.36 to double-check if the risk estimate we provide is consistent with the expected return of 0.12%. The commodity shows a Beta (market volatility) of -0.17, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Aluminum Futures are expected to decrease at a much lower rate. During the bear market, Aluminum Futures is likely to outperform the market.
Auto-correlation | -0.03 |
Very weak reverse predictability
Aluminum Futures has very weak reverse predictability. Overlapping area represents the amount of predictability between Aluminum Futures time series from 25th of October 2024 to 9th of November 2024 and 9th of November 2024 to 24th 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 Aluminum Futures price movement. The serial correlation of -0.03 indicates that only 3.0% of current Aluminum Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.03 | |
| Spearman Rank Test | -0.22 | |
| Residual Average | 0.0 | |
| Price Variance | 3381.96 |
Aluminum Futures lagged returns against current returns
Autocorrelation, which is Aluminum Futures 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 Aluminum Futures' commodity expected returns. We can calculate the autocorrelation of Aluminum Futures returns to help us make a trade decision. For example, suppose you find that Aluminum Futures 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 |
Aluminum Futures 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 Aluminum Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Aluminum Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Aluminum Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Aluminum Futures Lagged Returns
When evaluating Aluminum Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Aluminum Futures commodity have on its future price. Aluminum Futures 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, Aluminum Futures autocorrelation shows the relationship between Aluminum Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Aluminum Futures.
Regressed Prices |
| Timeline |