Soybean Oil Futures Commodity Market Value
| ZLUSX Commodity | 41.74 0.82 2.00% |
| Symbol | Soybean |
Soybean Oil '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 Soybean Oil'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 Soybean Oil.
| 06/03/2024 |
| 11/30/2024 |
If you would invest 0.00 in Soybean Oil on June 3, 2024 and sell it all today you would earn a total of 0.00 from holding Soybean Oil Futures or generate 0.0% return on investment in Soybean Oil over 180 days.
Soybean Oil 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 Soybean Oil'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 Soybean Oil Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 2.24 | |||
| Information Ratio | (0.06) | |||
| Maximum Drawdown | 8.46 | |||
| Value At Risk | (3.32) | |||
| Potential Upside | 3.07 |
Soybean Oil Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Soybean Oil's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Soybean Oil's standard deviation. In reality, there are many statistical measures that can use Soybean Oil historical prices to predict the future Soybean Oil's volatility.| Risk Adjusted Performance | 0.0096 | |||
| Jensen Alpha | 0.0014 | |||
| Total Risk Alpha | (0.36) | |||
| Sortino Ratio | (0.06) | |||
| Treynor Ratio | 0.057 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Soybean Oil'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.
Soybean Oil Futures Backtested Returns
At this stage we consider Soybean Commodity to be very steady. Soybean Oil Futures owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0238, which indicates the commodity had a 0.0238% return per unit of risk over the last 3 months. We have found thirty technical indicators for Soybean Oil Futures, which you can use to evaluate the volatility of the commodity. Please validate Soybean Oil's Coefficient Of Variation of 24283.29, semi deviation of 2.17, and Risk Adjusted Performance of 0.0096 to confirm if the risk estimate we provide is consistent with the expected return of 0.0511%. The entity has a beta of -0.0195, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Soybean Oil are expected to decrease at a much lower rate. During the bear market, Soybean Oil is likely to outperform the market.
Auto-correlation | -0.42 |
Modest reverse predictability
Soybean Oil Futures has modest reverse predictability. Overlapping area represents the amount of predictability between Soybean Oil 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 Soybean Oil Futures price movement. The serial correlation of -0.42 indicates that just about 42.0% of current Soybean Oil price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.42 | |
| Spearman Rank Test | -0.35 | |
| Residual Average | 0.0 | |
| Price Variance | 4.89 |
Soybean Oil Futures lagged returns against current returns
Autocorrelation, which is Soybean Oil 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 Soybean Oil's commodity expected returns. We can calculate the autocorrelation of Soybean Oil returns to help us make a trade decision. For example, suppose you find that Soybean Oil 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 |
Soybean Oil 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 Soybean Oil commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Soybean Oil commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Soybean Oil commodity over time.
Current vs Lagged Prices |
| Timeline |
Soybean Oil Lagged Returns
When evaluating Soybean Oil's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Soybean Oil commodity have on its future price. Soybean Oil 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, Soybean Oil autocorrelation shows the relationship between Soybean Oil commodity current value and its past values and can show if there is a momentum factor associated with investing in Soybean Oil Futures.
Regressed Prices |
| Timeline |