Natural Gas Commodity Market Value

NGUSD Commodity   3.30  0.10  3.12%   
Natural Gas' market value is the price at which a share of Natural Gas trades on a public exchange. It measures the collective expectations of Natural Gas investors about its performance. Natural Gas is trading at 3.30 as of the 29th of November 2024, a 3.12 percent up since the beginning of the trading day. The commodity's lowest day price was 3.18. With this module, you can estimate the performance of a buy and hold strategy of Natural Gas and determine expected loss or profit from investing in Natural Gas over a given investment horizon. Check out Correlation Analysis to better understand how to build diversified portfolios. Also, note that the market value of any commodity could be closely tied with the direction of predictive economic indicators such as signals in state.
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Natural Gas '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 Natural Gas' 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 Natural Gas.
0.00
10/30/2024
No Change 0.00  0.0 
In 31 days
11/29/2024
0.00
If you would invest  0.00  in Natural Gas on October 30, 2024 and sell it all today you would earn a total of 0.00 from holding Natural Gas or generate 0.0% return on investment in Natural Gas over 30 days.

Natural Gas 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 Natural Gas' 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 Natural Gas upside and downside potential and time the market with a certain degree of confidence.

Natural Gas Market Risk Indicators

Today, many novice investors tend to focus exclusively on investment returns with little concern for Natural Gas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Natural Gas' standard deviation. In reality, there are many statistical measures that can use Natural Gas historical prices to predict the future Natural Gas' volatility.
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Natural Gas' 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.

Natural Gas Backtested Returns

Natural Gas appears to be very risky, given 3 months investment horizon. Natural Gas has Sharpe Ratio of 0.15, which conveys that the entity had a 0.15% return per unit of risk over the last 3 months. By analyzing Natural Gas' technical indicators, you can evaluate if the expected return of 0.75% is justified by implied risk. Please exercise Natural Gas' Mean Deviation of 3.45, risk adjusted performance of 0.1296, and Downside Deviation of 3.97 to check out if our risk estimates are consistent with your expectations. The commodity secures a Beta (Market Risk) of 0.67, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Natural Gas' returns are expected to increase less than the market. However, during the bear market, the loss of holding Natural Gas is expected to be smaller as well.

Auto-correlation

    
  0.26  

Poor predictability

Natural Gas has poor predictability. Overlapping area represents the amount of predictability between Natural Gas time series from 30th of October 2024 to 14th of November 2024 and 14th of November 2024 to 29th 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 Natural Gas price movement. The serial correlation of 0.26 indicates that nearly 26.0% of current Natural Gas price fluctuation can be explain by its past prices.
Correlation Coefficient0.26
Spearman Rank Test0.12
Residual Average0.0
Price Variance0.04

Natural Gas lagged returns against current returns

Autocorrelation, which is Natural Gas 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 Natural Gas' commodity expected returns. We can calculate the autocorrelation of Natural Gas returns to help us make a trade decision. For example, suppose you find that Natural Gas 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  

Natural Gas 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 Natural Gas commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Natural Gas commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Natural Gas commodity over time.
   Current vs Lagged Prices   
       Timeline  

Natural Gas Lagged Returns

When evaluating Natural Gas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Natural Gas commodity have on its future price. Natural Gas 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, Natural Gas autocorrelation shows the relationship between Natural Gas commodity current value and its past values and can show if there is a momentum factor associated with investing in Natural Gas.
   Regressed Prices   
       Timeline  

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