Cm Modity Index Fund Market Value
| CMCAX Fund | USD 68.28 0.38 0.56% |
| Symbol | CMCAX |
Cm Modity '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 Cm Modity'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 Cm Modity.
| 12/17/2023 |
| 12/11/2024 |
If you would invest 0.00 in Cm Modity on December 17, 2023 and sell it all today you would earn a total of 0.00 from holding Cm Modity Index or generate 0.0% return on investment in Cm Modity over 360 days. Cm Modity is related to or competes with Global Hard, Pimco Moditiesplus, Aqr Risk, Parametric Modity, and Blackrock Commodity. The fund invests in instruments that derive their value from the performance of the UBS Constant Maturity Commodity Tota... More
Cm Modity 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 Cm Modity'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 Cm Modity Index upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9026 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 3.33 | |||
| Value At Risk | (1.40) | |||
| Potential Upside | 1.32 |
Cm Modity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Cm Modity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Cm Modity's standard deviation. In reality, there are many statistical measures that can use Cm Modity historical prices to predict the future Cm Modity's volatility.| Risk Adjusted Performance | 0.0774 | |||
| Jensen Alpha | 0.0951 | |||
| Total Risk Alpha | (0.05) | |||
| Sortino Ratio | (0.05) | |||
| Treynor Ratio | (0.35) |
Cm Modity Index Backtested Returns
At this stage we consider CMCAX Mutual Fund to be very steady. Cm Modity Index retains Efficiency (Sharpe Ratio) of 0.11, which signifies that the fund had a 0.11% return per unit of price deviation over the last 3 months. We have found twenty-eight technical indicators for Cm Modity, which you can use to evaluate the volatility of the entity. Please confirm Cm Modity's Coefficient Of Variation of 941.26, standard deviation of 0.7693, and Market Risk Adjusted Performance of (0.34) to double-check if the risk estimate we provide is consistent with the expected return of 0.0779%. The fund owns a Beta (Systematic Risk) of -0.2, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Cm Modity are expected to decrease at a much lower rate. During the bear market, Cm Modity is likely to outperform the market.
Auto-correlation | 0.18 |
Very weak predictability
Cm Modity Index has very weak predictability. Overlapping area represents the amount of predictability between Cm Modity time series from 17th of December 2023 to 14th of June 2024 and 14th of June 2024 to 11th 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 Cm Modity Index price movement. The serial correlation of 0.18 indicates that over 18.0% of current Cm Modity price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.18 | |
| Spearman Rank Test | 0.0 | |
| Residual Average | 0.0 | |
| Price Variance | 2.39 |
Cm Modity Index lagged returns against current returns
Autocorrelation, which is Cm Modity 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 Cm Modity's mutual fund expected returns. We can calculate the autocorrelation of Cm Modity returns to help us make a trade decision. For example, suppose you find that Cm Modity 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 |
Cm Modity 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 Cm Modity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Cm Modity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Cm Modity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Cm Modity Lagged Returns
When evaluating Cm Modity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Cm Modity mutual fund have on its future price. Cm Modity 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, Cm Modity autocorrelation shows the relationship between Cm Modity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Cm Modity Index.
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 CMCAX Mutual Fund
Cm Modity financial ratios help investors to determine whether CMCAX 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 CMCAX with respect to the benefits of owning Cm Modity security.
| Portfolio Volatility Check portfolio volatility and analyze historical return density to properly model market risk | |
| Portfolio Suggestion Get suggestions outside of your existing asset allocation including your own model portfolios | |
| Correlation Analysis Reduce portfolio risk simply by holding instruments which are not perfectly correlated |