Gold Futures Commodity Market Value
| GCUSD Commodity | 2,929 34.20 1.15% |
| Symbol | Gold |
Gold Futures '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 Gold Futures' 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 Gold Futures.
| 06/01/2024 |
| 02/26/2025 |
If you would invest 0.00 in Gold Futures on June 1, 2024 and sell it all today you would earn a total of 0.00 from holding Gold Futures or generate 0.0% return on investment in Gold Futures over 270 days.
Gold Futures 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 Gold Futures' 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 Gold Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.8704 | |||
| Information Ratio | 0.1533 | |||
| Maximum Drawdown | 4.24 | |||
| Value At Risk | (1.46) | |||
| Potential Upside | 1.42 |
Gold Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Gold Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Gold Futures' standard deviation. In reality, there are many statistical measures that can use Gold Futures historical prices to predict the future Gold Futures' volatility.| Risk Adjusted Performance | 0.1267 | |||
| Jensen Alpha | 0.1421 | |||
| Total Risk Alpha | 0.1357 | |||
| Sortino Ratio | 0.1571 | |||
| Treynor Ratio | (1.70) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Gold Futures' 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.
Gold Futures Backtested Returns
At this point, Gold Futures is very steady. Gold Futures holds Efficiency (Sharpe) Ratio of 0.16, which attests that the entity had a 0.16 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Gold Futures, which you can use to evaluate the volatility of the entity. Please check out Gold Futures' Risk Adjusted Performance of 0.1267, market risk adjusted performance of (1.69), and Downside Deviation of 0.8704 to validate if the risk estimate we provide is consistent with the expected return of 0.14%. The commodity retains a Market Volatility (i.e., Beta) of -0.0832, which attests to not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Gold Futures are expected to decrease at a much lower rate. During the bear market, Gold Futures is likely to outperform the market.
Auto-correlation | 0.67 |
Good predictability
Gold Futures has good predictability. Overlapping area represents the amount of predictability between Gold Futures time series from 1st of June 2024 to 14th of October 2024 and 14th of October 2024 to 26th 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 Gold Futures price movement. The serial correlation of 0.67 indicates that around 67.0% of current Gold Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.67 | |
| Spearman Rank Test | 0.44 | |
| Residual Average | 0.0 | |
| Price Variance | 10.6 K |
Gold Futures lagged returns against current returns
Autocorrelation, which is Gold Futures 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 Gold Futures' commodity expected returns. We can calculate the autocorrelation of Gold Futures returns to help us make a trade decision. For example, suppose you find that Gold Futures 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 |
Gold Futures 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 Gold Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Gold Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Gold Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Gold Futures Lagged Returns
When evaluating Gold Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Gold Futures commodity have on its future price. Gold Futures 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, Gold Futures autocorrelation shows the relationship between Gold Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Gold Futures.
Regressed Prices |
| Timeline |