Silver Futures Commodity Market Value
| SIUSD Commodity | 30.53 0.29 0.96% |
| Symbol | Silver |
Silver 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 Silver 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 Silver Futures.
| 12/08/2022 |
| 11/27/2024 |
If you would invest 0.00 in Silver Futures on December 8, 2022 and sell it all today you would earn a total of 0.00 from holding Silver Futures or generate 0.0% return on investment in Silver Futures over 720 days.
Silver 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 Silver 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 Silver Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.95 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 9.02 | |||
| Value At Risk | (3.42) | |||
| Potential Upside | 3.19 |
Silver Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Silver Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Silver Futures' standard deviation. In reality, there are many statistical measures that can use Silver Futures historical prices to predict the future Silver Futures' volatility.| Risk Adjusted Performance | 0.0419 | |||
| Jensen Alpha | 0.0884 | |||
| Total Risk Alpha | (0.23) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (1.76) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Silver 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.
Silver Futures Backtested Returns
At this point, Silver Futures is very steady. Silver Futures owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0238, which indicates the commodity had a 0.0238% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Silver Futures, which you can use to evaluate the volatility of the commodity. Please validate Silver Futures' Risk Adjusted Performance of 0.0419, coefficient of variation of 2136.93, and Semi Deviation of 1.9 to confirm if the risk estimate we provide is consistent with the expected return of 0.0478%. The entity has a beta of -0.0471, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Silver Futures are expected to decrease at a much lower rate. During the bear market, Silver Futures is likely to outperform the market.
Auto-correlation | 0.17 |
Very weak predictability
Silver Futures has very weak predictability. Overlapping area represents the amount of predictability between Silver Futures time series from 8th of December 2022 to 3rd of December 2023 and 3rd of December 2023 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 Silver Futures price movement. The serial correlation of 0.17 indicates that over 17.0% of current Silver Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | -0.1 | |
| Residual Average | 0.0 | |
| Price Variance | 11.56 |
Silver Futures lagged returns against current returns
Autocorrelation, which is Silver 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 Silver Futures' commodity expected returns. We can calculate the autocorrelation of Silver Futures returns to help us make a trade decision. For example, suppose you find that Silver 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 |
Silver 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 Silver Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Silver Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Silver Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Silver Futures Lagged Returns
When evaluating Silver Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Silver Futures commodity have on its future price. Silver 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, Silver Futures autocorrelation shows the relationship between Silver Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Silver Futures.
Regressed Prices |
| Timeline |