Copper Commodity Market Value
| HGUSD Commodity | 4.20 0.07 1.69% |
| Symbol | Copper |
Copper '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 Copper'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 Copper.
| 12/15/2022 |
| 12/04/2024 |
If you would invest 0.00 in Copper on December 15, 2022 and sell it all today you would earn a total of 0.00 from holding Copper or generate 0.0% return on investment in Copper over 720 days.
Copper 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 Copper'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 Copper upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.71 | |||
| Information Ratio | (0.03) | |||
| Maximum Drawdown | 8.26 | |||
| Value At Risk | (2.15) | |||
| Potential Upside | 2.22 |
Copper Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Copper's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Copper's standard deviation. In reality, there are many statistical measures that can use Copper historical prices to predict the future Copper's volatility.| Risk Adjusted Performance | 0.0423 | |||
| Jensen Alpha | 0.0741 | |||
| Total Risk Alpha | (0.14) | |||
| Sortino Ratio | (0.02) | |||
| Treynor Ratio | (0.64) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Copper'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.
Copper Backtested Returns
At this point, Copper is somewhat reliable. Copper secures Sharpe Ratio (or Efficiency) of 0.0221, which signifies that the commodity had a 0.0221% return per unit of risk over the last 3 months. We have found thirty technical indicators for Copper, which you can use to evaluate the volatility of the entity. Please confirm Copper's Downside Deviation of 1.71, mean deviation of 1.14, and Risk Adjusted Performance of 0.0423 to double-check if the risk estimate we provide is consistent with the expected return of 0.0332%. The commodity shows a Beta (market volatility) of -0.0999, which signifies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Copper are expected to decrease at a much lower rate. During the bear market, Copper is likely to outperform the market.
Auto-correlation | -0.63 |
Very good reverse predictability
Copper has very good reverse predictability. Overlapping area represents the amount of predictability between Copper time series from 15th of December 2022 to 10th of December 2023 and 10th of December 2023 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 Copper price movement. The serial correlation of -0.63 indicates that roughly 63.0% of current Copper price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.63 | |
| Spearman Rank Test | -0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 0.1 |
Copper lagged returns against current returns
Autocorrelation, which is Copper 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 Copper's commodity expected returns. We can calculate the autocorrelation of Copper returns to help us make a trade decision. For example, suppose you find that Copper 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 |
Copper 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 Copper commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Copper commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Copper commodity over time.
Current vs Lagged Prices |
| Timeline |
Copper Lagged Returns
When evaluating Copper's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Copper commodity have on its future price. Copper 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, Copper autocorrelation shows the relationship between Copper commodity current value and its past values and can show if there is a momentum factor associated with investing in Copper.
Regressed Prices |
| Timeline |