Lean Hogs Futures Commodity Market Value
| HEUSX Commodity | 83.10 1.12 1.37% |
| Symbol | Lean |
Lean Hogs '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 Lean Hogs' 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 Lean Hogs.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Lean Hogs on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Lean Hogs Futures or generate 0.0% return on investment in Lean Hogs over 30 days.
Lean Hogs 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 Lean Hogs' 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 Lean Hogs Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.81 | |||
| Information Ratio | (0.05) | |||
| Maximum Drawdown | 9.91 | |||
| Value At Risk | (2.17) | |||
| Potential Upside | 2.09 |
Lean Hogs Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Lean Hogs' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Lean Hogs' standard deviation. In reality, there are many statistical measures that can use Lean Hogs historical prices to predict the future Lean Hogs' volatility.| Risk Adjusted Performance | 0.0359 | |||
| Jensen Alpha | 0.053 | |||
| Total Risk Alpha | (0.19) | |||
| Sortino Ratio | (0.04) | |||
| Treynor Ratio | (4.79) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Lean Hogs' 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.
Lean Hogs Futures Backtested Returns
At this stage we consider Lean Commodity to be very steady. Lean Hogs Futures has Sharpe Ratio of 0.0191, which conveys that the entity had a 0.0191% return per unit of risk over the last 3 months. We have found thirty technical indicators for Lean Hogs, which you can use to evaluate the volatility of the commodity. Please verify Lean Hogs' Risk Adjusted Performance of 0.0359, mean deviation of 1.03, and Downside Deviation of 1.81 to check out if the risk estimate we provide is consistent with the expected return of 0.029%. The commodity secures a Beta (Market Risk) of -0.0108, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Lean Hogs are expected to decrease at a much lower rate. During the bear market, Lean Hogs is likely to outperform the market.
Auto-correlation | -0.62 |
Very good reverse predictability
Lean Hogs Futures has very good reverse predictability. Overlapping area represents the amount of predictability between Lean Hogs time series from 28th of October 2024 to 12th of November 2024 and 12th of November 2024 to 27th 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 Lean Hogs Futures price movement. The serial correlation of -0.62 indicates that roughly 62.0% of current Lean Hogs price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.62 | |
| Spearman Rank Test | 0.06 | |
| Residual Average | 0.0 | |
| Price Variance | 1.55 |
Lean Hogs Futures lagged returns against current returns
Autocorrelation, which is Lean Hogs 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 Lean Hogs' commodity expected returns. We can calculate the autocorrelation of Lean Hogs returns to help us make a trade decision. For example, suppose you find that Lean Hogs 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 |
Lean Hogs 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 Lean Hogs commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Lean Hogs commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Lean Hogs commodity over time.
Current vs Lagged Prices |
| Timeline |
Lean Hogs Lagged Returns
When evaluating Lean Hogs' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Lean Hogs commodity have on its future price. Lean Hogs 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, Lean Hogs autocorrelation shows the relationship between Lean Hogs commodity current value and its past values and can show if there is a momentum factor associated with investing in Lean Hogs Futures.
Regressed Prices |
| Timeline |