Micro Gold Futures Commodity Market Value
| MGCUSD Commodity | 2,864 31.80 1.10% |
| Symbol | Micro |
Micro Gold '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 Micro Gold'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 Micro Gold.
| 12/01/2024 |
| 03/01/2025 |
If you would invest 0.00 in Micro Gold on December 1, 2024 and sell it all today you would earn a total of 0.00 from holding Micro Gold Futures or generate 0.0% return on investment in Micro Gold over 90 days.
Micro Gold 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 Micro Gold'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 Micro Gold Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.9269 | |||
| Information Ratio | 0.1285 | |||
| Maximum Drawdown | 4.24 | |||
| Value At Risk | (1.50) | |||
| Potential Upside | 1.42 |
Micro Gold Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Micro Gold's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Micro Gold's standard deviation. In reality, there are many statistical measures that can use Micro Gold historical prices to predict the future Micro Gold's volatility.| Risk Adjusted Performance | 0.0861 | |||
| Jensen Alpha | 0.0914 | |||
| Total Risk Alpha | 0.1227 | |||
| Sortino Ratio | 0.1265 | |||
| Treynor Ratio | (0.77) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Micro Gold'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.
Micro Gold Futures Backtested Returns
At this point, Micro Gold is very steady. Micro Gold Futures has Sharpe Ratio of 0.13, which conveys that the entity had a 0.13 % return per unit of risk over the last 3 months. We have found twenty-nine technical indicators for Micro Gold, which you can use to evaluate the volatility of the commodity. Please verify Micro Gold's Downside Deviation of 0.9269, risk adjusted performance of 0.0861, and Mean Deviation of 0.7172 to check out if the risk estimate we provide is consistent with the expected return of 0.12%. The commodity secures a Beta (Market Risk) of -0.12, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Micro Gold are expected to decrease at a much lower rate. During the bear market, Micro Gold is likely to outperform the market.
Auto-correlation | -0.25 |
Weak reverse predictability
Micro Gold Futures has weak reverse predictability. Overlapping area represents the amount of predictability between Micro Gold time series from 1st of December 2024 to 15th of January 2025 and 15th of January 2025 to 1st of March 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 Micro Gold Futures price movement. The serial correlation of -0.25 indicates that over 25.0% of current Micro Gold price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.25 | |
| Spearman Rank Test | 0.11 | |
| Residual Average | 0.0 | |
| Price Variance | 6394.74 |
Micro Gold Futures lagged returns against current returns
Autocorrelation, which is Micro Gold 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 Micro Gold's commodity expected returns. We can calculate the autocorrelation of Micro Gold returns to help us make a trade decision. For example, suppose you find that Micro Gold 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 |
Micro Gold 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 Micro Gold commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Micro Gold commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Micro Gold commodity over time.
Current vs Lagged Prices |
| Timeline |
Micro Gold Lagged Returns
When evaluating Micro Gold's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Micro Gold commodity have on its future price. Micro Gold 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, Micro Gold autocorrelation shows the relationship between Micro Gold commodity current value and its past values and can show if there is a momentum factor associated with investing in Micro Gold Futures.
Regressed Prices |
| Timeline |