Copper Commodity Volatility
| HGUSD Commodity | 4.20 0.07 1.69% |
At this point, Copper is somewhat reliable. Copper secures Sharpe Ratio (or Efficiency) of 0.0221, which signifies that the commodity had a 0.0221% return per unit of risk over the last 3 months. We have found thirty technical indicators for Copper, which you can use to evaluate the volatility of the entity. Please confirm Copper's Mean Deviation of 1.14, risk adjusted performance of 0.0423, and Downside Deviation of 1.71 to double-check if the risk estimate we provide is consistent with the expected return of 0.0332%.
Copper |
Copper Commodity volatility depicts how high the prices fluctuate around the mean (or its average) price. In other words, it is a statistical measure of the distribution of Copper daily returns, and it is calculated using variance and standard deviation. We also use Copper's beta, its sensitivity to the market, as well as its odds of financial distress to provide a more practical estimation of Copper volatility.
Downward market volatility can be a perfect environment for commodity traders who play the long game. For example, an investor can purchase Copper that has halved in price over a short period. This will lower the average cost, improving your portfolio's performance when the markets normalize. Similarly, when the prices of copper's commodities rise, investors can sell out and invest the proceeds in other commodities with better opportunities.
Moving against Copper Commodity
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| 0.55 | FTNT | Fortinet Sell-off Trend | PairCorr |
| 0.53 | OPFI | OppFi Inc Potential Growth | PairCorr |
| 0.47 | MSTR | MicroStrategy Incorporated | PairCorr |
| 0.46 | PLTR | Palantir Technologies Buyout Trend | PairCorr |
| 0.43 | TSLA | Tesla Inc Aggressive Push | PairCorr |
| 0.43 | DECK | Deckers Outdoor | PairCorr |
| 0.4 | KMI | Kinder Morgan Sell-off Trend | PairCorr |
Copper Market Sensitivity And Downside Risk
Copper's beta coefficient measures the volatility of Copper commodity compared to the systematic risk of the entire market represented by your selected benchmark. In mathematical terms, beta represents the slope of the line through a regression of data points where each of these points represents Copper commodity's returns against your selected market. In other words, Copper's beta of -0.0999 provides an investor with an approximation of how much risk Copper commodity can potentially add to one of your existing portfolios. Copper has relatively low volatility with skewness of -0.21 and kurtosis of 1.48. Understanding different market volatility trends often help investors to time the market. Properly using volatility indicators enable traders to measure Copper's commodity risk against market volatility during both bullish and bearish trends. The higher level of volatility that comes with bear markets can directly impact Copper's commodity price while adding stress to investors as they watch their shares' value plummet. This usually forces investors to rebalance their portfolios by buying different financial instruments as prices fall.
3 Months Beta |Analyze Copper Demand TrendCheck current 90 days Copper correlation with market (Dow Jones Industrial)Copper Beta |
Copper standard deviation measures the daily dispersion of prices over your selected time horizon relative to its mean. A typical volatile entity has a high standard deviation, while the deviation of a stable instrument is usually low. As a downside, the standard deviation calculates all uncertainty as risk, even when it is in your favor, such as above-average returns.
Standard Deviation | 1.5 |
It is essential to understand the difference between upside risk (as represented by Copper's standard deviation) and the downside risk, which can be measured by semi-deviation or downside deviation of Copper's daily returns or price. Since the actual investment returns on holding a position in copper commodity tend to have a non-normal distribution, there will be different probabilities for losses than for gains. The likelihood of losses is reflected in the downside risk of an investment in Copper.
Copper Commodity Volatility Analysis
Volatility refers to the frequency at which Copper commodity price increases or decreases within a specified period. These fluctuations usually indicate the level of risk that's associated with Copper's price changes. Investors will then calculate the volatility of Copper's commodity to predict their future moves. A commodity that has erratic price changes quickly hits new highs, and lows are considered highly volatile. A commodity with relatively stable price changes has low volatility. A highly volatile commodity is riskier, but the risk cuts both ways. Investing in highly volatile security can either be highly successful, or you may experience significant failure. There are two main types of Copper's volatility:
Historical Volatility
This type of commodity volatility measures Copper's fluctuations based on previous trends. It's commonly used to predict Copper's future behavior based on its past. However, it cannot conclusively determine the future direction of the commodity.Implied Volatility
This type of volatility provides a positive outlook on future price fluctuations for Copper's current market price. This means that the commodity will return to its initially predicted market price. This type of volatility can be derived from derivative instruments written on Copper's to be redeemed at a future date.Transformation |
The output start index for this execution was zero with a total number of output elements of sixty-one. Copper Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input.
Copper Projected Return Density Against Market
Assuming the 90 days horizon Copper has a beta of -0.0999 . This usually indicates as returns on the benchmark increase, returns on holding Copper are expected to decrease at a much lower rate. During a bear market, however, Copper is likely to outperform the market.Most traded commodities, like Copper, are exposed to two types of risk: systematic (i.e., market-wide) and unsystematic (i.e., specific to the commodities market). Unsystematic risk pertains to events directly impacting Copper prices. This risk can be mitigated by diversifying investments across various commodities from different sectors that have low correlation with each other. Conversely, systematic risk involves price fluctuations due to broader commodity market trends and cannot be eliminated through diversification. Regardless of the number of commodities in your portfolio, market-wide risks persist. However, you can assess Copper's historical responsiveness to market shifts to gauge your comfort with its price volatility. Beta and standard deviation are key metrics to guide this analysis.
Copper has an alpha of 0.0741, implying that it can generate a 0.0741 percent excess return over Dow Jones Industrial after adjusting for the inherited market risk (beta). Predicted Return Density |
| Returns |
What Drives a Copper Price Volatility?
Several factors can influence a commodity's market volatility:Industry
Specific events can influence volatility within a particular industry. For instance, a significant weather upheaval in a crucial oil-production site may cause oil prices to increase in the oil sector. The direct result will be the rise in the price of oil distribution companies. Similarly, any government regulation in a specific industry could negatively influence prices due to increased presure on compliance that may impact the commodity's future earnings and growth.Political and Economic environment
When governments make significant decisions regarding trade agreements, policies, and legislation regarding specific industries, they will influence commodity prices. Everything from speeches to elections may influence investors, who can directly influence the prices in any particular industry.The Commodity's Performance
Sometimes volatility will only affect an individual commodity. For example, a revolutionary product launch or strong earnings report may attract many investors to purchase the commodity. This positive attention will raise the commodity's price.Copper Commodity Risk Measures
Assuming the 90 days horizon the coefficient of variation of Copper is 4514.71. The daily returns are distributed with a variance of 2.25 and standard deviation of 1.5. The mean deviation of Copper is currently at 1.12. For similar time horizon, the selected benchmark (Dow Jones Industrial) has volatility of 0.76
α | Alpha over Dow Jones | 0.07 | |
β | Beta against Dow Jones | -0.1 | |
σ | Overall volatility | 1.50 | |
Ir | Information ratio | -0.03 |
Copper Commodity Return Volatility
Copper historical daily return volatility represents how much of Copper commodity's daily returns swing around its mean - it is a statistical measure of its dispersion of returns. Copper shows 1.5009% volatility of returns over 90 . By contrast, Dow Jones Industrial accepts 0.7483% volatility on return distribution over the 90 days horizon. Performance |
| Timeline |
Copper Investment Opportunity
Copper has a volatility of 1.5 and is 2.0 times more volatile than Dow Jones Industrial. Compared to the overall equity markets, volatility of historical daily returns of Copper is lower than 13 percent of all global equities and portfolios over the last 90 days. You can use Copper to enhance the returns of your portfolios. The commodity experiences a large bullish trend. Check odds of Copper to be traded at 4.62 in 90 days.Good diversification
The correlation between Copper and DJI is -0.05 (i.e., Good diversification) for selected investment horizon. Overlapping area represents the amount of risk that can be diversified away by holding Copper and DJI in the same portfolio, assuming nothing else is changed.
Copper Additional Risk Indicators
The analysis of Copper's secondary risk indicators is one of the essential steps in making a buy or sell decision. The process involves identifying the amount of risk involved in Copper's investment and either accepting that risk or mitigating it. Along with some common measures of Copper commodity's risk such as standard deviation, beta, or value at risk, we also provide a set of secondary indicators that can assist in the individual investment decision or help in hedging the risk of your existing portfolios.
| Risk Adjusted Performance | 0.0423 | |||
| Market Risk Adjusted Performance | (0.63) | |||
| Mean Deviation | 1.14 | |||
| Semi Deviation | 1.51 | |||
| Downside Deviation | 1.71 | |||
| Coefficient Of Variation | 2041.14 | |||
| Standard Deviation | 1.51 |
Please note, the risk measures we provide can be used independently or collectively to perform a risk assessment. When comparing two potential commoditys, we recommend comparing similar commoditys with homogenous growth potential and valuation from related markets to determine which investment holds the most risk.
Copper Suggested Diversification Pairs
Pair trading is one of the very effective strategies used by professional day traders and hedge funds capitalizing on short-time and mid-term market inefficiencies. The approach is based on the fact that the ratio of prices of two correlating shares is long-term stable and oscillates around the average value. If the correlation ratio comes outside the common area, you can speculate with a high success rate that the ratio will return to the mean value and collect a profit.
The effect of pair diversification on risk is to reduce it, but we should note this doesn't apply to all risk types. When we trade pairs against Copper as a counterpart, there is always some inherent risk that will never be diversified away no matter what. This volatility limits the effect of tactical diversification using pair trading. Copper's systematic risk is the inherent uncertainty of the entire market, and therefore cannot be mitigated even by pair-trading it against the equity that is not highly correlated to it. On the other hand, Copper's unsystematic risk describes the types of risk that we can protect against, at least to some degree, by selecting a matching pair that is not perfectly correlated to Copper.