Commodity Return Strategy Fund Market Value
| CCRSX Fund | USD 17.73 0.09 0.51% |
| Symbol | Commodity |
Commodity Return '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 Commodity Return's mutual fund 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 Commodity Return.
| 11/04/2024 |
| 12/04/2024 |
If you would invest 0.00 in Commodity Return on November 4, 2024 and sell it all today you would earn a total of 0.00 from holding Commodity Return Strategy or generate 0.0% return on investment in Commodity Return over 30 days. Commodity Return is related to or competes with Locorr Dynamic, Multimedia Portfolio, Ab Select, Us Strategic, Ms Global, and Gmo Global. The fund is designed to achieve positive total return relative to the performance of the Bloomberg Commodity Index Total... More
Commodity Return 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 Commodity Return's mutual fund 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 Commodity Return Strategy upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9569 | |||
| Information Ratio | (0.09) | |||
| Maximum Drawdown | 3.53 | |||
| Value At Risk | (1.32) | |||
| Potential Upside | 1.24 |
Commodity Return Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Commodity Return's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Commodity Return's standard deviation. In reality, there are many statistical measures that can use Commodity Return historical prices to predict the future Commodity Return's volatility.| Risk Adjusted Performance | 0.0409 | |||
| Jensen Alpha | 0.0357 | |||
| Total Risk Alpha | (0.08) | |||
| Sortino Ratio | (0.07) | |||
| Treynor Ratio | (0.91) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Commodity Return'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.
Commodity Return Strategy Backtested Returns
At this stage we consider Commodity Mutual Fund to be very steady. Commodity Return Strategy secures Sharpe Ratio (or Efficiency) of 0.0711, which signifies that the fund had a 0.0711% return per unit of risk over the last 3 months. We have found twenty-eight technical indicators for Commodity Return Strategy, which you can use to evaluate the volatility of the entity. Please confirm Commodity Return's Mean Deviation of 0.6147, downside deviation of 0.9569, and Risk Adjusted Performance of 0.0409 to double-check if the risk estimate we provide is consistent with the expected return of 0.0569%. The fund shows a Beta (market volatility) of -0.0352, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Commodity Return are expected to decrease at a much lower rate. During the bear market, Commodity Return is likely to outperform the market.
Auto-correlation | 0.66 |
Good predictability
Commodity Return Strategy has good predictability. Overlapping area represents the amount of predictability between Commodity Return time series from 4th of November 2024 to 19th of November 2024 and 19th of November 2024 to 4th of December 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 Commodity Return Strategy price movement. The serial correlation of 0.66 indicates that around 66.0% of current Commodity Return price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.66 | |
| Spearman Rank Test | 0.5 | |
| Residual Average | 0.0 | |
| Price Variance | 0.01 |
Commodity Return Strategy lagged returns against current returns
Autocorrelation, which is Commodity Return mutual fund'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 Commodity Return's mutual fund expected returns. We can calculate the autocorrelation of Commodity Return returns to help us make a trade decision. For example, suppose you find that Commodity Return has exhibited high autocorrelation historically, and you observe that the mutual fund 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 |
Commodity Return 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 Commodity Return mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Commodity Return mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Commodity Return mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Commodity Return Lagged Returns
When evaluating Commodity Return's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Commodity Return mutual fund have on its future price. Commodity Return 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, Commodity Return autocorrelation shows the relationship between Commodity Return mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Commodity Return Strategy.
Regressed Prices |
| Timeline |
Also Currently Popular
Analyzing currently trending equities could be an opportunity to develop a better portfolio based on different market momentums that they can trigger. Utilizing the top trending stocks is also useful when creating a market-neutral strategy or pair trading technique involving a short or a long position in a currently trending equity.Other Information on Investing in Commodity Mutual Fund
Commodity Return financial ratios help investors to determine whether Commodity Mutual Fund is cheap or expensive when compared to a particular measure, such as profits or enterprise value. In other words, they help investors to determine the cost of investment in Commodity with respect to the benefits of owning Commodity Return security.
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