Soybean Futures Commodity Market Value
| ZSUSX Commodity | 1,049 1.25 0.12% |
| Symbol | Soybean |
Soybean 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 Soybean 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 Soybean Futures.
| 01/26/2025 |
| 02/25/2025 |
If you would invest 0.00 in Soybean Futures on January 26, 2025 and sell it all today you would earn a total of 0.00 from holding Soybean Futures or generate 0.0% return on investment in Soybean Futures over 30 days.
Soybean 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 Soybean 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 Soybean Futures upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 1.07 | |||
| Information Ratio | 0.0749 | |||
| Maximum Drawdown | 4.98 | |||
| Value At Risk | (1.56) | |||
| Potential Upside | 1.89 |
Soybean Futures Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Soybean Futures' investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Soybean Futures' standard deviation. In reality, there are many statistical measures that can use Soybean Futures historical prices to predict the future Soybean Futures' volatility.| Risk Adjusted Performance | 0.0682 | |||
| Jensen Alpha | 0.0917 | |||
| Total Risk Alpha | 0.0838 | |||
| Sortino Ratio | 0.0808 | |||
| Treynor Ratio | (13.09) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Soybean 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.
Soybean Futures Backtested Returns
At this stage we consider Soybean Commodity to be very steady. Soybean Futures owns Efficiency Ratio (i.e., Sharpe Ratio) of 0.0879, which indicates the commodity had a 0.0879 % return per unit of risk over the last 3 months. We have found thirty technical indicators for Soybean Futures, which you can use to evaluate the volatility of the commodity. Please validate Soybean Futures' Semi Deviation of 0.9041, coefficient of variation of 1138.09, and Risk Adjusted Performance of 0.0682 to confirm if the risk estimate we provide is consistent with the expected return of 0.1%. The entity has a beta of -0.007, which indicates not very significant fluctuations relative to the market. As returns on the market increase, returns on owning Soybean Futures are expected to decrease at a much lower rate. During the bear market, Soybean Futures is likely to outperform the market.
Auto-correlation | 0.20 |
Weak predictability
Soybean Futures has weak predictability. Overlapping area represents the amount of predictability between Soybean Futures time series from 26th of January 2025 to 10th of February 2025 and 10th of February 2025 to 25th of February 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 Soybean Futures price movement. The serial correlation of 0.2 indicates that over 20.0% of current Soybean Futures price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.2 | |
| Spearman Rank Test | 0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 104.4 |
Soybean Futures lagged returns against current returns
Autocorrelation, which is Soybean 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 Soybean Futures' commodity expected returns. We can calculate the autocorrelation of Soybean Futures returns to help us make a trade decision. For example, suppose you find that Soybean 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 |
Soybean 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 Soybean Futures commodity is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Soybean Futures commodity is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Soybean Futures commodity over time.
Current vs Lagged Prices |
| Timeline |
Soybean Futures Lagged Returns
When evaluating Soybean Futures' market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Soybean Futures commodity have on its future price. Soybean 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, Soybean Futures autocorrelation shows the relationship between Soybean Futures commodity current value and its past values and can show if there is a momentum factor associated with investing in Soybean Futures.
Regressed Prices |
| Timeline |