Brent Crude Oil Commodity Market Value
| BZUSD Commodity | 74.59 0.04 0.05% |
| Symbol | Brent |
Brent Crude '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 Brent Crude'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 Brent Crude.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Brent Crude on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Brent Crude Oil or generate 0.0% return on investment in Brent Crude over 30 days.
Brent Crude 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 Brent Crude'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 Brent Crude Oil upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 10.98 | |||
| Value At Risk | (3.86) | |||
| Potential Upside | 3.15 |
Brent Crude Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Brent Crude's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Brent Crude's standard deviation. In reality, there are many statistical measures that can use Brent Crude historical prices to predict the future Brent Crude's volatility.| Risk Adjusted Performance | (0.01) | |||
| Jensen Alpha | (0.03) | |||
| Total Risk Alpha | (0.39) | |||
| Treynor Ratio | 0.2403 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Brent Crude'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.
Brent Crude Oil Backtested Returns
Brent Crude Oil secures Sharpe Ratio (or Efficiency) of -0.0447, which signifies that the commodity had a -0.0447% return per unit of standard deviation over the last 3 months. Brent Crude Oil exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm Brent Crude's risk adjusted performance of (0.01), and Mean Deviation of 1.6 to double-check the risk estimate we provide. The commodity shows a Beta (market volatility) of -0.25, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Brent Crude are expected to decrease at a much lower rate. During the bear market, Brent Crude is likely to outperform the market.
Auto-correlation | 0.45 |
Average predictability
Brent Crude Oil has average predictability. Overlapping area represents the amount of predictability between Brent Crude time series from 24th of October 2024 to 8th of November 2024 and 8th of November 2024 to 23rd 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 Brent Crude Oil price movement. The serial correlation of 0.45 indicates that just about 45.0% of current Brent Crude price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.24 | |
| Residual Average | 0.0 | |
| Price Variance | 1.34 |
Brent Crude Oil lagged returns against current returns
Autocorrelation, which is Brent Crude 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 Brent Crude's commodity expected returns. We can calculate the autocorrelation of Brent Crude returns to help us make a trade decision. For example, suppose you find that Brent Crude 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 |
Brent Crude 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 Brent Crude commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Brent Crude commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Brent Crude commodity over time.
Current vs Lagged Prices |
| Timeline |
Brent Crude Lagged Returns
When evaluating Brent Crude's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Brent Crude commodity have on its future price. Brent Crude 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, Brent Crude autocorrelation shows the relationship between Brent Crude commodity current value and its past values and can show if there is a momentum factor associated with investing in Brent Crude Oil.
Regressed Prices |
| Timeline |