30 Day Fed Commodity Volatility
| ZQUSD Commodity | 95.49 0.02 0.02% |
At this point, 30 Day is very steady. 30 Day Fed retains Efficiency (Sharpe Ratio) of 0.12, which signifies that the commodity had a 0.12% return per unit of price deviation over the last 3 months. We have found twenty-six technical indicators for 30 Day, which you can use to evaluate the volatility of the entity. Please confirm 30 Day's Variance of 0.0119, mean deviation of 0.0442, and Information Ratio of (1.07) to double-check if the risk estimate we provide is consistent with the expected return of 0.0133%.
ZQUSD |
30 Day Commodity volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of ZQUSD daily returns, and it is calculated using variance and standard deviation. We also use ZQUSD's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of 30 Day volatility.
30 Day Fed Commodity Volatility Analysis
Volatility refers to the frequency at which 30 Day commodity price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with 30 Day's price changes. Investors will then calculate the volatility of 30 Day's commodity to predict their future moves. A commodity that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A commodity with relatively stable price changes has low volatility. A highly volatile commodity is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of 30 Day's volatility:
Historical Volatility
This type of commodity volatility measures 30 Day's fluctuations based on previous trends. It's commonly used to predict 30 Day's future behavior based on its past. However, it cannot conclusively determine the future direction of the commodity.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for 30 Day's current market price. This means that the commodity will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on 30 Day's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. 30 Day Fed Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
30 Day Projected Return Density Against Market
Assuming the 90 days horizon 30 Day has a beta that is very close to zero . This usually means the returns on DOW JONES INDUSTRIAL and 30 Day do not appear to be highly-sensitive.Most traded commodities, like 30 Day, are exposed to two types of risk: systematic (i.e., market-wide) and unsystematic (i.e., specific to the commodities market). Unsystematic risk pertains to events directly impacting 30 Day Fed prices. This risk can be mitigated by diversifying investments across various commodities from different sectors that have low correlation with each other. Conversely, systematic risk involves price fluctuations due to broader commodity market trends and cannot be eliminated through diversification. Regardless of the number of commodities in your portfolio, market-wide risks persist. However, you can assess 30 Day's historical responsiveness to market shifts to gauge your comfort with its price volatility. Beta and standard deviation are key metrics to guide this analysis.
It does not look like 30 Day's alpha can have any bearing on the current valuation. Predicted Return Density |
| Returns |
What Drives a 30 Day Price Volatility?
Several factors can influence a commodity's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence prices due to increased presure on compliance that may impact the commodity's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence commodity prices. Everything from speeches to elections may influence investors, who can directly influence the prices in any particular industry.The Commodity's Performance
Sometimes volatility will only affect an individual commodity. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the commodity. This positive attention will raise the commodity's price.30 Day Commodity Risk Measures
Assuming the 90 days horizon the coefficient of variation of 30 Day is 819.63. The daily returns are distributed with a variance of 0.01 and standard deviation of 0.11. The mean deviation of 30 Day Fed is currently at 0.04. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.00 | |
β | Beta against Dow Jones | 0.00 | |
σ | Overall volatility | 0.11 | |
Ir | Information ratio | -1.07 |
30 Day Commodity Return Volatility
30 Day historical daily return volatility represents how much of 30 Day commodity's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. 30 Day Fed shows 0.1092% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7716% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
30 Day Investment Opportunity
Dow Jones Industrial has a standard deviation of returns of 0.77 and is 7.0 times more volatile than 30 Day Fed. Compared to the overall equity markets, volatility of historical daily returns of 30 Day Fed is lower than 0 percent of all global equities and portfolios over the last 90 days. You can use 30 Day Fed to enhance the returns of your portfolios. The commodity experiences a normal upward fluctuation. Check odds of 30 Day to be traded at 100.26 in 90 days.30 Day Additional Risk Indicators
The analysis of 30 Day's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in 30 Day's investment and either accepting that risk or mitigating it. Along with some common measures of 30 Day commodity's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0333 | |||
| Mean Deviation | 0.0442 | |||
| Downside Deviation | 0.1083 | |||
| Coefficient Of Variation | 819.63 | |||
| Standard Deviation | 0.1092 | |||
| Variance | 0.0119 | |||
| Information Ratio | (1.07) |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential commoditys, we recommend comparing similar commoditys with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
30 Day Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
| Citigroup vs. 30 Day | ||
| Alphabet vs. 30 Day | ||
| GM vs. 30 Day | ||
| Empire State vs. 30 Day | ||
| Capri Holdings vs. 30 Day | ||
| SentinelOne vs. 30 Day | ||
| Bellring Brands vs. 30 Day | ||
| Visa vs. 30 Day | ||
| Dupont De vs. 30 Day |
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against 30 Day as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. 30 Day's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, 30 Day's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to 30 Day Fed.