Soybean Meal Futures Commodity Market Value
| ZMUSD Commodity | 291.50 2.10 0.73% |
| Symbol | Soybean |
Soybean Meal '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 Soybean Meal'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 Soybean Meal.
| 12/03/2022 |
| 11/22/2024 |
If you would invest 0.00 in Soybean Meal on December 3, 2022 and sell it all today you would earn a total of 0.00 from holding Soybean Meal Futures or generate 0.0% return on investment in Soybean Meal over 720 days.
Soybean Meal 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 Soybean Meal'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 Soybean Meal Futures upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.14) | |||
| Maximum Drawdown | 7.61 | |||
| Value At Risk | (2.04) | |||
| Potential Upside | 2.57 |
Soybean Meal Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Soybean Meal's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Soybean Meal's standard deviation. In reality, there are many statistical measures that can use Soybean Meal historical prices to predict the future Soybean Meal's volatility.| Risk Adjusted Performance | (0.04) | |||
| Jensen Alpha | (0.10) | |||
| Total Risk Alpha | (0.26) | |||
| Treynor Ratio | (0.56) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Soybean Meal'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.
Soybean Meal Futures Backtested Returns
Soybean Meal Futures owns Efficiency Ratio (i.e., Sharpe Ratio) of -0.0798, which indicates the commodity had a -0.0798% return per unit of risk over the last 3 months. Soybean Meal Futures exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please validate Soybean Meal's Variance of 1.84, coefficient of variation of (1,750), and Risk Adjusted Performance of (0.04) to confirm the risk estimate we provide. The entity has a beta of 0.15, which indicates not very significant fluctuations relative to the market. As returns on the market increase, Soybean Meal's returns are expected to increase less than the market. However, during the bear market, the loss of holding Soybean Meal is expected to be smaller as well.
Auto-correlation | 0.17 |
Very weak predictability
Soybean Meal Futures has very weak predictability. Overlapping area represents the amount of predictability between Soybean Meal time series from 3rd of December 2022 to 28th of November 2023 and 28th of November 2023 to 22nd 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 Soybean Meal Futures price movement. The serial correlation of 0.17 indicates that over 17.0% of current Soybean Meal price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.17 | |
| Spearman Rank Test | 0.36 | |
| Residual Average | 0.0 | |
| Price Variance | 993.32 |
Soybean Meal Futures lagged returns against current returns
Autocorrelation, which is Soybean Meal 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 Soybean Meal's commodity expected returns. We can calculate the autocorrelation of Soybean Meal returns to help us make a trade decision. For example, suppose you find that Soybean Meal 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 |
Soybean Meal 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 Soybean Meal commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Soybean Meal commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Soybean Meal commodity over time.
Current vs Lagged Prices |
| Timeline |
Soybean Meal Lagged Returns
When evaluating Soybean Meal's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Soybean Meal commodity have on its future price. Soybean Meal 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, Soybean Meal autocorrelation shows the relationship between Soybean Meal commodity current value and its past values and can show if there is a momentum factor associated with investing in Soybean Meal Futures.
Regressed Prices |
| Timeline |