Wheat Futures Commodity Market Value
| KEUSX Commodity | 565.50 1.75 0.31% |
| Symbol | Wheat |
Wheat Futures '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 Wheat Futures' 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 Wheat Futures.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in Wheat Futures on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding Wheat Futures or generate 0.0% return on investment in Wheat Futures over 30 days.
Wheat Futures 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 Wheat Futures' 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 Wheat Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.47 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 6.16 | |||
| Value At Risk | (2.42) | |||
| Potential Upside | 2.67 |
Wheat Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Wheat Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Wheat Futures' standard deviation. In reality, there are many statistical measures that can use Wheat Futures historical prices to predict the future Wheat Futures' volatility.| Risk Adjusted Performance | 0.0526 | |||
| Jensen Alpha | 0.1085 | |||
| Total Risk Alpha | (0.16) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (0.46) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Wheat Futures' 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.
Wheat Futures Backtested Returns
At this stage we consider Wheat Commodity to be very steady. Wheat Futures shows Sharpe Ratio of 0.0579, which attests that the commodity had a 0.0579% return per unit of risk over the last 3 months. We have found thirty technical indicators for Wheat Futures, which you can use to evaluate the volatility of the commodity. Please check out Wheat Futures' Downside Deviation of 1.47, mean deviation of 1.22, and Market Risk Adjusted Performance of (0.45) to validate if the risk estimate we provide is consistent with the expected return of 0.0894%. The entity maintains a market beta of -0.19, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Wheat Futures are expected to decrease at a much lower rate. During the bear market, Wheat Futures is likely to outperform the market.
Auto-correlation | 0.05 |
Virtually no predictability
Wheat Futures has virtually no predictability. Overlapping area represents the amount of predictability between Wheat Futures 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 Wheat Futures price movement. The serial correlation of 0.05 indicates that only as little as 5.0% of current Wheat Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.05 | |
| Spearman Rank Test | -0.25 | |
| Residual Average | 0.0 | |
| Price Variance | 146.09 |
Wheat Futures lagged returns against current returns
Autocorrelation, which is Wheat Futures 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 Wheat Futures' commodity expected returns. We can calculate the autocorrelation of Wheat Futures returns to help us make a trade decision. For example, suppose you find that Wheat Futures 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 |
Wheat Futures 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 Wheat Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Wheat Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Wheat Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Wheat Futures Lagged Returns
When evaluating Wheat Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Wheat Futures commodity have on its future price. Wheat Futures 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, Wheat Futures autocorrelation shows the relationship between Wheat Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Wheat Futures.
Regressed Prices |
| Timeline |