Live Cattle Futures Commodity Market Value
| LEUSX Commodity | 187.70 0.50 0.27% |
| Symbol | Live |
Live Cattle '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 Live Cattle'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 Live Cattle.
| 05/30/2024 |
| 11/26/2024 |
If you would invest 0.00 in Live Cattle on May 30, 2024 and sell it all today you would earn a total of 0.00 from holding Live Cattle Futures or generate 0.0% return on investment in Live Cattle over 180 days.
Live Cattle 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 Live Cattle'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 Live Cattle Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8317 | |||
| Information Ratio | (0.11) | |||
| Maximum Drawdown | 4.4 | |||
| Value At Risk | (1.10) | |||
| Potential Upside | 1.09 |
Live Cattle Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Live Cattle's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Live Cattle's standard deviation. In reality, there are many statistical measures that can use Live Cattle historical prices to predict the future Live Cattle's volatility.| Risk Adjusted Performance | 0.045 | |||
| Jensen Alpha | (0) | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.10) | |||
| Treynor Ratio | 0.1113 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Live Cattle'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.
Live Cattle Futures Backtested Returns
At this stage we consider Live Commodity to be very steady. Live Cattle Futures has Sharpe Ratio of 0.0478, which conveys that the entity had a 0.0478% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Live Cattle, which you can use to evaluate the volatility of the commodity. Please verify Live Cattle's Risk Adjusted Performance of 0.045, mean deviation of 0.5211, and Downside Deviation of 0.8317 to check out if the risk estimate we provide is consistent with the expected return of 0.0361%. The commodity secures a Beta (Market Risk) of 0.31, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Live Cattle's returns are expected to increase less than the market. However, during the bear market, the loss of holding Live Cattle is expected to be smaller as well.
Auto-correlation | 0.01 |
Virtually no predictability
Live Cattle Futures has virtually no predictability. Overlapping area represents the amount of predictability between Live Cattle time series from 30th of May 2024 to 28th of August 2024 and 28th of August 2024 to 26th 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 Live Cattle Futures price movement. The serial correlation of 0.01 indicates that just 1.0% of current Live Cattle price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.01 | |
| Spearman Rank Test | 0.21 | |
| Residual Average | 0.0 | |
| Price Variance | 14.29 |
Live Cattle Futures lagged returns against current returns
Autocorrelation, which is Live Cattle 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 Live Cattle's commodity expected returns. We can calculate the autocorrelation of Live Cattle returns to help us make a trade decision. For example, suppose you find that Live Cattle 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 |
Live Cattle 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 Live Cattle commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Live Cattle commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Live Cattle commodity over time.
Current vs Lagged Prices |
| Timeline |
Live Cattle Lagged Returns
When evaluating Live Cattle's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Live Cattle commodity have on its future price. Live Cattle 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, Live Cattle autocorrelation shows the relationship between Live Cattle commodity current value and its past values and can show if there is a momentum factor associated with investing in Live Cattle Futures.
Regressed Prices |
| Timeline |