Oat Futures Commodity Market Value
| ZOUSX Commodity | 367.75 2.75 0.74% |
| Symbol | Oat |
Oat 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 Oat 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 Oat Futures.
| 12/17/2024 |
| 03/17/2025 |
If you would invest 0.00 in Oat Futures on December 17, 2024 and sell it all today you would earn a total of 0.00 from holding Oat Futures or generate 0.0% return on investment in Oat Futures over 90 days.
Oat 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 Oat 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 Oat Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.53 | |||
| Information Ratio | 0.0823 | |||
| Maximum Drawdown | 8.5 | |||
| Value At Risk | (2.57) | |||
| Potential Upside | 4.4 |
Oat Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Oat Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Oat Futures' standard deviation. In reality, there are many statistical measures that can use Oat Futures historical prices to predict the future Oat Futures' volatility.| Risk Adjusted Performance | 0.0329 | |||
| Jensen Alpha | 0.0193 | |||
| Total Risk Alpha | 0.2955 | |||
| Sortino Ratio | 0.1045 | |||
| Treynor Ratio | (0.17) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Oat 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.
Oat Futures Backtested Returns
At this stage we consider Oat Commodity to be very steady. Oat Futures maintains Sharpe Ratio (i.e., Efficiency) of 0.0178, which implies the entity had a 0.0178 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Oat Futures, which you can use to evaluate the volatility of the commodity. Please check Oat Futures' Semi Deviation of 1.43, coefficient of variation of 3177.98, and Risk Adjusted Performance of 0.0329 to confirm if the risk estimate we provide is consistent with the expected return of 0.0352%. The commodity holds a Beta of -0.29, which implies not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Oat Futures are expected to decrease at a much lower rate. During the bear market, Oat Futures is likely to outperform the market.
Auto-correlation | 0.72 |
Good predictability
Oat Futures has good predictability. Overlapping area represents the amount of predictability between Oat Futures time series from 17th of December 2024 to 31st of January 2025 and 31st of January 2025 to 17th 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 Oat Futures price movement. The serial correlation of 0.72 indicates that around 72.0% of current Oat Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.72 | |
| Spearman Rank Test | 0.23 | |
| Residual Average | 0.0 | |
| Price Variance | 220.32 |
Oat Futures lagged returns against current returns
Autocorrelation, which is Oat 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 Oat Futures' commodity expected returns. We can calculate the autocorrelation of Oat Futures returns to help us make a trade decision. For example, suppose you find that Oat 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 |
Oat 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 Oat Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Oat Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Oat Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Oat Futures Lagged Returns
When evaluating Oat Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Oat Futures commodity have on its future price. Oat 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, Oat Futures autocorrelation shows the relationship between Oat Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Oat Futures.
Regressed Prices |
| Timeline |