Gasoline Rbob Commodity Market Value
| RBUSD Commodity | 2.06 0.01 0.48% |
| Symbol | Gasoline |
Gasoline RBOB '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 Gasoline RBOB'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 Gasoline RBOB.
| 01/02/2025 |
| 02/01/2025 |
If you would invest 0.00 in Gasoline RBOB on January 2, 2025 and sell it all today you would earn a total of 0.00 from holding Gasoline RBOB or generate 0.0% return on investment in Gasoline RBOB over 30 days.
Gasoline RBOB 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 Gasoline RBOB'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 Gasoline RBOB upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.35 | |||
| Information Ratio | (0.01) | |||
| Maximum Drawdown | 6.11 | |||
| Value At Risk | (1.85) | |||
| Potential Upside | 2.11 |
Gasoline RBOB Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gasoline RBOB's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gasoline RBOB's standard deviation. In reality, there are many statistical measures that can use Gasoline RBOB historical prices to predict the future Gasoline RBOB's volatility.| Risk Adjusted Performance | 0.0623 | |||
| Jensen Alpha | 0.1286 | |||
| Total Risk Alpha | (0.06) | |||
| Sortino Ratio | (0.01) | |||
| Treynor Ratio | (0.15) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gasoline RBOB'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.
Gasoline RBOB Backtested Returns
At this point, Gasoline RBOB is moderately volatile. Gasoline RBOB holds Efficiency (Sharpe) Ratio of 0.0303, which attests that the entity had a 0.0303 % return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Gasoline RBOB, which you can use to evaluate the volatility of the entity. Please check out Gasoline RBOB's Risk Adjusted Performance of 0.0623, downside deviation of 1.35, and Market Risk Adjusted Performance of (0.14) to validate if the risk estimate we provide is consistent with the expected return of 0.0386%. The commodity retains a Market Volatility (i.e., Beta) of -0.53, which attests to possible diversification benefits within a given portfolio. As returns on the market increase, returns on owning Gasoline RBOB are expected to decrease at a much lower rate. During the bear market, Gasoline RBOB is likely to outperform the market.
Auto-correlation | -0.23 |
Weak reverse predictability
Gasoline RBOB has weak reverse predictability. Overlapping area represents the amount of predictability between Gasoline RBOB time series from 2nd of January 2025 to 17th of January 2025 and 17th of January 2025 to 1st of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Gasoline RBOB price movement. The serial correlation of -0.23 indicates that over 23.0% of current Gasoline RBOB price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.23 | |
| Spearman Rank Test | -0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Gasoline RBOB lagged returns against current returns
Autocorrelation, which is Gasoline RBOB 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 Gasoline RBOB's commodity expected returns. We can calculate the autocorrelation of Gasoline RBOB returns to help us make a trade decision. For example, suppose you find that Gasoline RBOB 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 |
Gasoline RBOB 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 Gasoline RBOB commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gasoline RBOB commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Gasoline RBOB commodity over time.
Current vs Lagged Prices |
| Timeline |
Gasoline RBOB Lagged Returns
When evaluating Gasoline RBOB's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gasoline RBOB commodity have on its future price. Gasoline RBOB 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, Gasoline RBOB autocorrelation shows the relationship between Gasoline RBOB commodity current value and its past values and can show if there is a momentum factor associated with investing in Gasoline RBOB.
Regressed Prices |
| Timeline |