Cocoa Commodity Market Value
| CCUSD Commodity | 8,963 328.00 3.80% |
| Symbol | Cocoa |
Cocoa '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 Cocoa'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 Cocoa.
| 10/25/2024 |
| 11/24/2024 |
If you would invest 0.00 in Cocoa on October 25, 2024 and sell it all today you would earn a total of 0.00 from holding Cocoa or generate 0.0% return on investment in Cocoa over 30 days.
Cocoa 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 Cocoa'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 Cocoa upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 3.21 | |||
| Information Ratio | 0.044 | |||
| Maximum Drawdown | 15.13 | |||
| Value At Risk | (5.23) | |||
| Potential Upside | 5.56 |
Cocoa Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cocoa's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cocoa's standard deviation. In reality, there are many statistical measures that can use Cocoa historical prices to predict the future Cocoa's volatility.| Risk Adjusted Performance | 0.073 | |||
| Jensen Alpha | 0.2436 | |||
| Total Risk Alpha | (0.24) | |||
| Sortino Ratio | 0.0434 | |||
| Treynor Ratio | 1.9 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Cocoa'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.
Cocoa Backtested Returns
Cocoa appears to be very steady, given 3 months investment horizon. Cocoa secures Sharpe Ratio (or Efficiency) of 0.0701, which signifies that the commodity had a 0.0701% return per unit of standard deviation over the last 3 months. We have found thirty technical indicators for Cocoa, which you can use to evaluate the volatility of the entity. Please makes use of Cocoa's mean deviation of 2.49, and Risk Adjusted Performance of 0.073 to double-check if our risk estimates are consistent with your expectations. The commodity shows a Beta (market volatility) of 0.14, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Cocoa's returns are expected to increase less than the market. However, during the bear market, the loss of holding Cocoa is expected to be smaller as well.
Auto-correlation | 0.45 |
Average predictability
Cocoa has average predictability. Overlapping area represents the amount of predictability between Cocoa 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 Cocoa price movement. The serial correlation of 0.45 indicates that just about 45.0% of current Cocoa price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.45 | |
| Spearman Rank Test | 0.29 | |
| Residual Average | 0.0 | |
| Price Variance | 270.5 K |
Cocoa lagged returns against current returns
Autocorrelation, which is Cocoa 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 Cocoa's commodity expected returns. We can calculate the autocorrelation of Cocoa returns to help us make a trade decision. For example, suppose you find that Cocoa 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 |
Cocoa 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 Cocoa commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cocoa commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cocoa commodity over time.
Current vs Lagged Prices |
| Timeline |
Cocoa Lagged Returns
When evaluating Cocoa's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cocoa commodity have on its future price. Cocoa 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, Cocoa autocorrelation shows the relationship between Cocoa commodity current value and its past values and can show if there is a momentum factor associated with investing in Cocoa.
Regressed Prices |
| Timeline |