Heating Oil Commodity Market Value
| HOUSD Commodity | 2.24 0.04 1.75% |
| Symbol | Heating |
Heating Oil '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 Heating Oil'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 Heating Oil.
| 12/08/2022 |
| 11/27/2024 |
If you would invest 0.00 in Heating Oil on December 8, 2022 and sell it all today you would earn a total of 0.00 from holding Heating Oil or generate 0.0% return on investment in Heating Oil over 720 days.
Heating Oil 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 Heating Oil'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 Heating Oil upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.08) | |||
| Maximum Drawdown | 9.93 | |||
| Value At Risk | (3.52) | |||
| Potential Upside | 3.07 |
Heating Oil Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Heating Oil's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Heating Oil's standard deviation. In reality, there are many statistical measures that can use Heating Oil historical prices to predict the future Heating Oil's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.34) | |||
| Treynor Ratio | 0.1282 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Heating Oil'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.
Heating Oil Backtested Returns
Heating Oil holds Efficiency (Sharpe) Ratio of -0.0046, which attests that the entity had a -0.0046% return per unit of standard deviation over the last 3 months. Heating Oil exposes twenty-two different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please check out Heating Oil's market risk adjusted performance of 0.1382, and Risk Adjusted Performance of (0) to validate the risk estimate we provide. The commodity retains a Market Volatility (i.e., Beta) of -0.23, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Heating Oil are expected to decrease at a much lower rate. During the bear market, Heating Oil is likely to outperform the market.
Auto-correlation | -0.23 |
Weak reverse predictability
Heating Oil has weak reverse predictability. Overlapping area represents the amount of predictability between Heating Oil time series from 8th of December 2022 to 3rd of December 2023 and 3rd of December 2023 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 Heating Oil price movement. The serial correlation of -0.23 indicates that over 23.0% of current Heating Oil price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.16 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
Heating Oil lagged returns against current returns
Autocorrelation, which is Heating Oil 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 Heating Oil's commodity expected returns. We can calculate the autocorrelation of Heating Oil returns to help us make a trade decision. For example, suppose you find that Heating Oil 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 |
Heating Oil 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 Heating Oil commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Heating Oil commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Heating Oil commodity over time.
Current vs Lagged Prices |
| Timeline |
Heating Oil Lagged Returns
When evaluating Heating Oil's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Heating Oil commodity have on its future price. Heating Oil 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, Heating Oil autocorrelation shows the relationship between Heating Oil commodity current value and its past values and can show if there is a momentum factor associated with investing in Heating Oil.
Regressed Prices |
| Timeline |