Calumet Specialty Products Market Value
| 131477AT8 | 103.27 0.00 0.00% |
| Symbol | Calumet |
Calumet '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 Calumet's bond 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 Calumet.
| 11/06/2023 |
| 11/30/2024 |
If you would invest 0.00 in Calumet on November 6, 2023 and sell it all today you would earn a total of 0.00 from holding Calumet Specialty Products or generate 0.0% return on investment in Calumet over 390 days. Calumet is related to or competes with Inter Parfums, Skechers USA, Steven Madden, Weyco, European Wax, Procter Gamble, and Aquestive Therapeutics. More
Calumet 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 Calumet's bond 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 Calumet Specialty Products upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6799 | |||
| Information Ratio | (0.13) | |||
| Maximum Drawdown | 5.75 | |||
| Value At Risk | (0.47) | |||
| Potential Upside | 0.4293 |
Calumet Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Calumet's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Calumet's standard deviation. In reality, there are many statistical measures that can use Calumet historical prices to predict the future Calumet's volatility.| Risk Adjusted Performance | 0.0524 | |||
| Jensen Alpha | 0.0295 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.13) | |||
| Treynor Ratio | 0.519 |
Calumet Specialty Backtested Returns
At this point, Calumet is very steady. Calumet Specialty secures Sharpe Ratio (or Efficiency) of 0.24, which signifies that the bond had a 0.24% return per unit of risk over the last 3 months. We have found twenty-five technical indicators for Calumet Specialty Products, which you can use to evaluate the volatility of the entity. Please confirm Calumet's Downside Deviation of 0.6799, risk adjusted performance of 0.0524, and Mean Deviation of 0.3432 to double-check if the risk estimate we provide is consistent with the expected return of 0.14%. The bond shows a Beta (market volatility) of 0.0753, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Calumet's returns are expected to increase less than the market. However, during the bear market, the loss of holding Calumet is expected to be smaller as well.
Auto-correlation | 0.07 |
Virtually no predictability
Calumet Specialty Products has virtually no predictability. Overlapping area represents the amount of predictability between Calumet time series from 6th of November 2023 to 19th of May 2024 and 19th of May 2024 to 30th 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 Calumet Specialty price movement. The serial correlation of 0.07 indicates that barely 7.0% of current Calumet price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.07 | |
| Spearman Rank Test | -0.03 | |
| Residual Average | 0.0 | |
| Price Variance | 0.25 |
Calumet Specialty lagged returns against current returns
Autocorrelation, which is Calumet bond'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 Calumet's bond expected returns. We can calculate the autocorrelation of Calumet returns to help us make a trade decision. For example, suppose you find that Calumet has exhibited high autocorrelation historically, and you observe that the bond 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 |
Calumet 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 Calumet bond is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Calumet bond is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Calumet bond over time.
Current vs Lagged Prices |
| Timeline |
Calumet Lagged Returns
When evaluating Calumet's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Calumet bond have on its future price. Calumet 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, Calumet autocorrelation shows the relationship between Calumet bond current value and its past values and can show if there is a momentum factor associated with investing in Calumet Specialty Products.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Calumet Bond
Calumet financial ratios help investors to determine whether Calumet Bond is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Calumet with respect to the benefits of owning Calumet security.