30 Year Treasury Commodity Market Value
| ZBUSD Commodity | 118.69 0.81 0.69% |
| Symbol | ZBUSD |
30 Year '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 30 Year'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 30 Year.
| 05/31/2024 |
| 11/27/2024 |
If you would invest 0.00 in 30 Year on May 31, 2024 and sell it all today you would earn a total of 0.00 from holding 30 Year Treasury or generate 0.0% return on investment in 30 Year over 180 days.
30 Year 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 30 Year'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 30 Year Treasury upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.34) | |||
| Maximum Drawdown | 2.69 | |||
| Value At Risk | (1.15) | |||
| Potential Upside | 0.8365 |
30 Year Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 30 Year's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 30 Year's standard deviation. In reality, there are many statistical measures that can use 30 Year historical prices to predict the future 30 Year's volatility.| Risk Adjusted Performance | (0.1) | |||
| Jensen Alpha | (0.07) | |||
| Total Risk Alpha | (0.18) | |||
| Treynor Ratio | 0.7585 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of 30 Year'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.
30 Year Treasury Backtested Returns
30 Year Treasury retains Efficiency (Sharpe Ratio) of -0.1, which signifies that the commodity had a -0.1% return per unit of price deviation over the last 3 months. 30 Year exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm 30 Year's Market Risk Adjusted Performance of 0.7685, information ratio of (0.34), and Variance of 0.3664 to double-check the risk estimate we provide. The entity owns a Beta (Systematic Risk) of -0.11, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning 30 Year are expected to decrease at a much lower rate. During the bear market, 30 Year is likely to outperform the market.
Auto-correlation | -0.72 |
Almost perfect reverse predictability
30 Year Treasury has almost perfect reverse predictability. Overlapping area represents the amount of predictability between 30 Year time series from 31st of May 2024 to 29th of August 2024 and 29th of August 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 30 Year Treasury price movement. The serial correlation of -0.72 indicates that around 72.0% of current 30 Year price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.72 | |
| Spearman Rank Test | -0.71 | |
| Residual Average | 0.0 | |
| Price Variance | 13.66 |
30 Year Treasury lagged returns against current returns
Autocorrelation, which is 30 Year 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 30 Year's commodity expected returns. We can calculate the autocorrelation of 30 Year returns to help us make a trade decision. For example, suppose you find that 30 Year 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 |
30 Year 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 30 Year commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 30 Year commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 30 Year commodity over time.
Current vs Lagged Prices |
| Timeline |
30 Year Lagged Returns
When evaluating 30 Year's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 30 Year commodity have on its future price. 30 Year 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, 30 Year autocorrelation shows the relationship between 30 Year commodity current value and its past values and can show if there is a momentum factor associated with investing in 30 Year Treasury.
Regressed Prices |
| Timeline |