Corn Futures Commodity Market Value
| ZCUSX Commodity | 424.75 0.75 0.18% |
| Symbol | Corn |
Corn 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 Corn 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 Corn Futures.
| 07/05/2023 |
| 11/26/2024 |
If you would invest 0.00 in Corn Futures on July 5, 2023 and sell it all today you would earn a total of 0.00 from holding Corn Futures or generate 0.0% return on investment in Corn Futures over 510 days.
Corn 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 Corn 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 Corn Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9535 | |||
| Information Ratio | 0.086 | |||
| Maximum Drawdown | 10.22 | |||
| Value At Risk | (1.70) | |||
| Potential Upside | 1.85 |
Corn Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Corn Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Corn Futures' standard deviation. In reality, there are many statistical measures that can use Corn Futures historical prices to predict the future Corn Futures' volatility.| Risk Adjusted Performance | 0.1387 | |||
| Jensen Alpha | 0.235 | |||
| Total Risk Alpha | 0.0189 | |||
| Sortino Ratio | 0.1298 | |||
| Treynor Ratio | 3.88 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Corn 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.
Corn Futures Backtested Returns
Corn Futures appears to be very steady, given 3 months investment horizon. Corn Futures secures Sharpe Ratio (or Efficiency) of 0.17, which signifies that the commodity had a 0.17% return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Corn Futures, which you can use to evaluate the volatility of the entity. Please makes use of Corn Futures' Mean Deviation of 0.9557, risk adjusted performance of 0.1387, and Downside Deviation of 0.9535 to double-check if our risk estimates are consistent with your expectations. The commodity shows a Beta (market volatility) of 0.0625, which signifies not very significant fluctuations relative to the market. As returns on the market increase, Corn Futures' returns are expected to increase less than the market. However, during the bear market, the loss of holding Corn Futures is expected to be smaller as well.
Auto-correlation | 0.15 |
Insignificant predictability
Corn Futures has insignificant predictability. Overlapping area represents the amount of predictability between Corn Futures time series from 5th of July 2023 to 16th of March 2024 and 16th of March 2024 to 26th 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 Corn Futures price movement. The serial correlation of 0.15 indicates that less than 15.0% of current Corn Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.15 | |
| Spearman Rank Test | 0.28 | |
| Residual Average | 0.0 | |
| Price Variance | 643.92 |
Corn Futures lagged returns against current returns
Autocorrelation, which is Corn 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 Corn Futures' commodity expected returns. We can calculate the autocorrelation of Corn Futures returns to help us make a trade decision. For example, suppose you find that Corn 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 |
Corn 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 Corn Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Corn Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Corn Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Corn Futures Lagged Returns
When evaluating Corn Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Corn Futures commodity have on its future price. Corn 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, Corn Futures autocorrelation shows the relationship between Corn Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Corn Futures.
Regressed Prices |
| Timeline |