Palladium Commodity Market Value
| PAUSD Commodity | 984.50 2.40 0.24% |
| Symbol | Palladium |
Palladium '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 Palladium'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 Palladium.
| 10/28/2024 |
| 11/27/2024 |
If you would invest 0.00 in Palladium on October 28, 2024 and sell it all today you would earn a total of 0.00 from holding Palladium or generate 0.0% return on investment in Palladium over 30 days.
Palladium 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 Palladium'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 Palladium upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.61 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 15.36 | |||
| Value At Risk | (3.68) | |||
| Potential Upside | 4.51 |
Palladium Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Palladium's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Palladium's standard deviation. In reality, there are many statistical measures that can use Palladium historical prices to predict the future Palladium's volatility.| Risk Adjusted Performance | 0.0289 | |||
| Jensen Alpha | 0.0513 | |||
| Total Risk Alpha | (0.39) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | 0.4071 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Palladium'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.
Palladium Backtested Returns
At this point, Palladium is very steady. Palladium maintains Sharpe Ratio (i.e., Efficiency) of 0.0207, which implies the entity had a 0.0207% return per unit of risk over the last 3 months. We have found thirty technical indicators for Palladium, which you can use to evaluate the volatility of the commodity. Please check Palladium's Semi Deviation of 2.56, risk adjusted performance of 0.0289, and Coefficient Of Variation of 3554.67 to confirm if the risk estimate we provide is consistent with the expected return of 0.06%. The commodity holds a Beta of 0.18, which implies not very significant fluctuations relative to the market. As returns on the market increase, Palladium's returns are expected to increase less than the market. However, during the bear market, the loss of holding Palladium is expected to be smaller as well.
Auto-correlation | -0.56 |
Good reverse predictability
Palladium has good reverse predictability. Overlapping area represents the amount of predictability between Palladium 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 Palladium price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Palladium price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.56 | |
| Spearman Rank Test | -0.48 | |
| Residual Average | 0.0 | |
| Price Variance | 1643.56 |
Palladium lagged returns against current returns
Autocorrelation, which is Palladium 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 Palladium's commodity expected returns. We can calculate the autocorrelation of Palladium returns to help us make a trade decision. For example, suppose you find that Palladium 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 |
Palladium 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 Palladium commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Palladium commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Palladium commodity over time.
Current vs Lagged Prices |
| Timeline |
Palladium Lagged Returns
When evaluating Palladium's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Palladium commodity have on its future price. Palladium 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, Palladium autocorrelation shows the relationship between Palladium commodity current value and its past values and can show if there is a momentum factor associated with investing in Palladium.
Regressed Prices |
| Timeline |