E Mini Sp 500 Commodity Market Value
| ESUSD Commodity | 5,980 20.75 0.35% |
| Symbol | ESUSD |
E Mini '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 E Mini'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 E Mini.
| 11/27/2024 |
| 02/25/2025 |
If you would invest 0.00 in E Mini on November 27, 2024 and sell it all today you would earn a total of 0.00 from holding E Mini SP 500 or generate 0.0% return on investment in E Mini over 90 days.
E Mini 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 E Mini'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 E Mini SP 500 upside and downside potential and time the market with a certain degree of confidence.
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 3.82 | |||
| Value At Risk | (1.32) | |||
| Potential Upside | 1.03 |
E Mini Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for E Mini's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as E Mini's standard deviation. In reality, there are many statistical measures that can use E Mini historical prices to predict the future E Mini's volatility.| Risk Adjusted Performance | (0) | |||
| Jensen Alpha | (0.02) | |||
| Total Risk Alpha | (0.02) | |||
| Treynor Ratio | (0.12) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of E Mini'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.
E Mini SP Backtested Returns
E Mini SP secures Sharpe Ratio (or Efficiency) of close to zero, which denotes the commodity had a close to zero % return per unit of risk over the last 3 months. E Mini SP 500 exposes twenty-three different technical indicators, which can help you to evaluate volatility embedded in its price movement. Please confirm E Mini's Standard Deviation of 0.7938, coefficient of variation of (12,916), and Mean Deviation of 0.5803 to check the risk estimate we provide. The entity shows a Beta (market volatility) of 0.13, which means not very significant fluctuations relative to the market. As returns on the market increase, E Mini's returns are expected to increase less than the market. However, during the bear market, the loss of holding E Mini is expected to be smaller as well.
Auto-correlation | 0.04 |
Virtually no predictability
E Mini SP 500 has virtually no predictability. Overlapping area represents the amount of predictability between E Mini time series from 27th of November 2024 to 11th of January 2025 and 11th of January 2025 to 25th of February 2025. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of E Mini SP price movement. The serial correlation of 0.04 indicates that only as little as 4.0% of current E Mini price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.04 | |
| Spearman Rank Test | -0.2 | |
| Residual Average | 0.0 | |
| Price Variance | 4956.39 |
E Mini SP lagged returns against current returns
Autocorrelation, which is E Mini 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 E Mini's commodity expected returns. We can calculate the autocorrelation of E Mini returns to help us make a trade decision. For example, suppose you find that E Mini 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 |
E Mini 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 E Mini commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if E Mini commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in E Mini commodity over time.
Current vs Lagged Prices |
| Timeline |
E Mini Lagged Returns
When evaluating E Mini's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of E Mini commodity have on its future price. E Mini 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, E Mini autocorrelation shows the relationship between E Mini commodity current value and its past values and can show if there is a momentum factor associated with investing in E Mini SP 500.
Regressed Prices |
| Timeline |