2 Year T Note Futures Commodity Market Value
| ZTUSD Commodity | 102.51 0.04 0.04% |
| Symbol | ZTUSD |
2 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 2 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 2 Year.
| 10/24/2024 |
| 11/23/2024 |
If you would invest 0.00 in 2 Year on October 24, 2024 and sell it all today you would earn a total of 0.00 from holding 2 Year T Note Futures or generate 0.0% return on investment in 2 Year over 30 days.
2 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 2 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 2 Year T Note Futures upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (1.08) | |||
| Maximum Drawdown | 0.8976 | |||
| Value At Risk | (0.16) | |||
| Potential Upside | 0.1833 |
2 Year Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for 2 Year's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as 2 Year's standard deviation. In reality, there are many statistical measures that can use 2 Year historical prices to predict the future 2 Year's volatility.| Risk Adjusted Performance | (0.12) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.04) | |||
| Treynor Ratio | (2.69) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of 2 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.
2 Year T Backtested Returns
2 Year T secures Sharpe Ratio (or Efficiency) of -0.0912, which signifies that the commodity had a -0.0912% return per unit of return volatility over the last 3 months. 2 Year T Note Futures exposes twenty-four different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm 2 Year's Standard Deviation of 0.133, mean deviation of 0.0897, and Variance of 0.0177 to double-check the risk estimate we provide. The entity shows a Beta (market volatility) of 0.0084, which signifies not very significant fluctuations relative to the market. As returns on the market increase, 2 Year's returns are expected to increase less than the market. However, during the bear market, the loss of holding 2 Year is expected to be smaller as well.
Auto-correlation | 0.79 |
Good predictability
2 Year T Note Futures has good predictability. Overlapping area represents the amount of predictability between 2 Year time series from 24th of October 2024 to 8th of November 2024 and 8th of November 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 2 Year T price movement. The serial correlation of 0.79 indicates that around 79.0% of current 2 Year price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.79 | |
| Spearman Rank Test | 0.6 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
2 Year T lagged returns against current returns
Autocorrelation, which is 2 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 2 Year's commodity expected returns. We can calculate the autocorrelation of 2 Year returns to help us make a trade decision. For example, suppose you find that 2 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 |
2 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 2 Year commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if 2 Year commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in 2 Year commodity over time.
Current vs Lagged Prices |
| Timeline |
2 Year Lagged Returns
When evaluating 2 Year's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of 2 Year commodity have on its future price. 2 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, 2 Year autocorrelation shows the relationship between 2 Year commodity current value and its past values and can show if there is a momentum factor associated with investing in 2 Year T Note Futures.
Regressed Prices |
| Timeline |