Embark Commodity Strategy Fund Market Value
| ECSWX Fund | 10.41 0.02 0.19% |
| Symbol | Embark |
Embark Commodity '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 Embark Commodity's mutual fund 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 Embark Commodity.
| 04/06/2024 |
| 12/02/2024 |
If you would invest 0.00 in Embark Commodity on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding Embark Commodity Strategy or generate 0.0% return on investment in Embark Commodity over 240 days. Embark Commodity is related to or competes with Ab Impact, Franklin High, California High-yield, Intermediate-term, and Federated Pennsylvania. The fund seeks to provide exposure to commodities markets by investing in commodity-linked instruments across various co... More
Embark Commodity 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 Embark Commodity's mutual fund 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 Embark Commodity Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.06 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 3.57 | |||
| Value At Risk | (1.44) | |||
| Potential Upside | 1.35 |
Embark Commodity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Embark Commodity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Embark Commodity's standard deviation. In reality, there are many statistical measures that can use Embark Commodity historical prices to predict the future Embark Commodity's volatility.| Risk Adjusted Performance | 0.0458 | |||
| Jensen Alpha | 0.0432 | |||
| Total Risk Alpha | (0.1) | |||
| Sortino Ratio | (0.08) | |||
| Treynor Ratio | (0.84) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Embark Commodity'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.
Embark Commodity Strategy Backtested Returns
At this stage we consider Embark Mutual Fund to be very steady. Embark Commodity Strategy secures Sharpe Ratio (or Efficiency) of 0.0878, which denotes the fund had a 0.0878% return per unit of standard deviation over the last 3 months. We have found twenty-seven technical indicators for Embark Commodity Strategy, which you can use to evaluate the volatility of the entity. Please confirm Embark Commodity's Mean Deviation of 0.605, semi deviation of 0.889, and Downside Deviation of 1.06 to check if the risk estimate we provide is consistent with the expected return of 0.069%. The fund shows a Beta (market volatility) of -0.0445, which means not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Embark Commodity are expected to decrease at a much lower rate. During the bear market, Embark Commodity is likely to outperform the market.
Auto-correlation | -0.24 |
Weak reverse predictability
Embark Commodity Strategy has weak reverse predictability. Overlapping area represents the amount of predictability between Embark Commodity time series from 6th of April 2024 to 4th of August 2024 and 4th of August 2024 to 2nd of December 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 Embark Commodity Strategy price movement. The serial correlation of -0.24 indicates that over 24.0% of current Embark Commodity price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.24 | |
| Spearman Rank Test | -0.47 | |
| Residual Average | 0.0 | |
| Price Variance | 0.06 |
Embark Commodity Strategy lagged returns against current returns
Autocorrelation, which is Embark Commodity mutual fund'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 Embark Commodity's mutual fund expected returns. We can calculate the autocorrelation of Embark Commodity returns to help us make a trade decision. For example, suppose you find that Embark Commodity has exhibited high autocorrelation historically, and you observe that the mutual fund 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 |
Embark Commodity 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 Embark Commodity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Embark Commodity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Embark Commodity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Embark Commodity Lagged Returns
When evaluating Embark Commodity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Embark Commodity mutual fund have on its future price. Embark Commodity 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, Embark Commodity autocorrelation shows the relationship between Embark Commodity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Embark Commodity Strategy.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Embark Mutual Fund
Embark Commodity financial ratios help investors to determine whether Embark Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Embark with respect to the benefits of owning Embark Commodity security.
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