Mini Dow Jones Commodity Market Value
| YMUSD Commodity | 44,417 22.00 0.05% |
| Symbol | Mini |
Mini Dow '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 Mini Dow'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 Mini Dow.
| 12/29/2023 |
| 11/23/2024 |
If you would invest 0.00 in Mini Dow on December 29, 2023 and sell it all today you would earn a total of 0.00 from holding Mini Dow Jones or generate 0.0% return on investment in Mini Dow over 330 days.
Mini Dow 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 Mini Dow'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 Mini Dow Jones upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.6433 | |||
| Information Ratio | (0.02) | |||
| Maximum Drawdown | 4.41 | |||
| Value At Risk | (0.98) | |||
| Potential Upside | 1.09 |
Mini Dow Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Mini Dow's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Mini Dow's standard deviation. In reality, there are many statistical measures that can use Mini Dow historical prices to predict the future Mini Dow's volatility.| Risk Adjusted Performance | 0.1141 | |||
| Jensen Alpha | (0.01) | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | (0.03) | |||
| Treynor Ratio | 0.1092 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Mini Dow'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.
Mini Dow Jones Backtested Returns
At this point, Mini Dow is very steady. Mini Dow Jones 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. We have found thirty technical indicators for Mini Dow, which you can use to evaluate the volatility of the commodity. Please verify Mini Dow's Downside Deviation of 0.6433, risk adjusted performance of 0.1141, and Mean Deviation of 0.5678 to check out if the risk estimate we provide is consistent with the expected return of 0.11%. The commodity secures a Beta (Market Risk) of 0.96, which conveys possible diversification benefits within a given portfolio. Mini Dow returns are very sensitive to returns on the market. As the market goes up or down, Mini Dow is expected to follow.
Auto-correlation | 0.35 |
Below average predictability
Mini Dow Jones has below average predictability. Overlapping area represents the amount of predictability between Mini Dow time series from 29th of December 2023 to 11th of June 2024 and 11th of June 2024 to 23rd 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 Mini Dow Jones price movement. The serial correlation of 0.35 indicates that nearly 35.0% of current Mini Dow price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.35 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 2.3 M |
Mini Dow Jones lagged returns against current returns
Autocorrelation, which is Mini Dow 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 Mini Dow's commodity expected returns. We can calculate the autocorrelation of Mini Dow returns to help us make a trade decision. For example, suppose you find that Mini Dow 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 |
Mini Dow 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 Mini Dow commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Mini Dow commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Mini Dow commodity over time.
Current vs Lagged Prices |
| Timeline |
Mini Dow Lagged Returns
When evaluating Mini Dow's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Mini Dow commodity have on its future price. Mini Dow 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, Mini Dow autocorrelation shows the relationship between Mini Dow commodity current value and its past values and can show if there is a momentum factor associated with investing in Mini Dow Jones.
Regressed Prices |
| Timeline |