Natural Gas Commodity Market Value
| NGUSD Commodity | 3.36 0.16 5.00% |
| Symbol | Natural |
Natural Gas '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 Natural Gas' 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 Natural Gas.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Natural Gas on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Natural Gas or generate 0.0% return on investment in Natural Gas over 180 days.
Natural Gas 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 Natural Gas' 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 Natural Gas upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 4.04 | |||
| Information Ratio | 0.1367 | |||
| Maximum Drawdown | 31.59 | |||
| Value At Risk | (6.29) | |||
| Potential Upside | 7.67 |
Natural Gas Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Natural Gas' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Natural Gas' standard deviation. In reality, there are many statistical measures that can use Natural Gas historical prices to predict the future Natural Gas' volatility.| Risk Adjusted Performance | 0.1345 | |||
| Jensen Alpha | 0.7145 | |||
| Total Risk Alpha | (0.02) | |||
| Sortino Ratio | 0.1652 | |||
| Treynor Ratio | 1.26 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Natural Gas' 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.
Natural Gas Backtested Returns
Natural Gas appears to be very risky, given 3 months investment horizon. Natural Gas has Sharpe Ratio of 0.16, which conveys that the entity had a 0.16% return per unit of risk over the last 3 months. By analyzing Natural Gas' technical indicators, you can evaluate if the expected return of 0.76% is justified by implied risk. Please exercise Natural Gas' Risk Adjusted Performance of 0.1345, mean deviation of 3.48, and Downside Deviation of 4.04 to check out if our risk estimates are consistent with your expectations. The commodity secures a Beta (Market Risk) of 0.63, which conveys possible diversification benefits within a given portfolio. As returns on the market increase, Natural Gas' returns are expected to increase less than the market. However, during the bear market, the loss of holding Natural Gas is expected to be smaller as well.
Auto-correlation | -0.56 |
Good reverse predictability
Natural Gas has good reverse predictability. Overlapping area represents the amount of predictability between Natural Gas time series from 3rd of June 2024 to 1st of September 2024 and 1st of September 2024 to 30th of November 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 Natural Gas price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Natural Gas price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.56 | |
| Spearman Rank Test | -0.57 | |
| Residual Average | 0.0 | |
| Price Variance | 0.12 |
Natural Gas lagged returns against current returns
Autocorrelation, which is Natural Gas 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 Natural Gas' commodity expected returns. We can calculate the autocorrelation of Natural Gas returns to help us make a trade decision. For example, suppose you find that Natural Gas 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 |
Natural Gas 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 Natural Gas commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Natural Gas commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Natural Gas commodity over time.
Current vs Lagged Prices |
| Timeline |
Natural Gas Lagged Returns
When evaluating Natural Gas' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Natural Gas commodity have on its future price. Natural Gas 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, Natural Gas autocorrelation shows the relationship between Natural Gas commodity current value and its past values and can show if there is a momentum factor associated with investing in Natural Gas.
Regressed Prices |
| Timeline |