LG Longer (Netherlands) Market Value
| COMF Etf | EUR 21.10 0.03 0.14% |
| Symbol | COMF |
LG Longer '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 LG Longer's etf 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 LG Longer.
| 04/06/2024 |
| 05/06/2024 |
If you would invest 0.00 in LG Longer on April 6, 2024 and sell it all today you would earn a total of 0.00 from holding LG Longer Dated or generate 0.0% return on investment in LG Longer over 30 days. LG Longer is related to or competes with LG Russell, VanEck Multi, IShares III, IShares Core, IShares France, and IShares Core. The Fund is designed to track the performance of the Bloomberg Commodity Index 3 Month Forward Total Return More
LG Longer 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 LG Longer's etf 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 LG Longer Dated upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5828 | |||
| Information Ratio | 0.0194 | |||
| Maximum Drawdown | 3.19 | |||
| Value At Risk | (0.79) | |||
| Potential Upside | 1.15 |
LG Longer Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for LG Longer's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as LG Longer's standard deviation. In reality, there are many statistical measures that can use LG Longer historical prices to predict the future LG Longer's volatility.| Risk Adjusted Performance | 0.0934 | |||
| Jensen Alpha | 0.0894 | |||
| Total Risk Alpha | 0.0137 | |||
| Sortino Ratio | 0.0205 | |||
| Treynor Ratio | (0.70) |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of LG Longer'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.
LG Longer Dated Backtested Returns
We consider LG Longer very steady. LG Longer Dated retains Efficiency (Sharpe Ratio) of 0.18, which conveys that the entity had a 0.18% return per unit of price deviation over the last 3 months. We have found twenty-nine technical indicators for LG Longer, which you can use to evaluate the volatility of the etf. Please verify LG Longer's Standard Deviation of 0.6158, mean deviation of 0.4607, and Market Risk Adjusted Performance of (0.69) to check out if the risk estimate we provide is consistent with the expected return of 0.11%. The etf owns a Beta (Systematic Risk) of -0.12, which conveys not very significant fluctuations relative to the market. As returns on the market increase, returns on owning LG Longer are expected to decrease at a much lower rate. During the bear market, LG Longer is likely to outperform the market.
Auto-correlation | -0.22 |
Weak reverse predictability
LG Longer Dated has weak reverse predictability. Overlapping area represents the amount of predictability between LG Longer time series from 6th of April 2024 to 21st of April 2024 and 21st of April 2024 to 6th of May 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 LG Longer Dated price movement. The serial correlation of -0.22 indicates that over 22.0% of current LG Longer price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.22 | |
| Spearman Rank Test | -0.54 | |
| Residual Average | 0.0 | |
| Price Variance | 0.04 |
LG Longer Dated lagged returns against current returns
Autocorrelation, which is LG Longer etf'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 LG Longer's etf expected returns. We can calculate the autocorrelation of LG Longer returns to help us make a trade decision. For example, suppose you find that LG Longer has exhibited high autocorrelation historically, and you observe that the etf 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 |
LG Longer 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 LG Longer etf is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if LG Longer etf is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in LG Longer etf over time.
Current vs Lagged Prices |
| Timeline |
LG Longer Lagged Returns
When evaluating LG Longer's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of LG Longer etf have on its future price. LG Longer 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, LG Longer autocorrelation shows the relationship between LG Longer etf current value and its past values and can show if there is a momentum factor associated with investing in LG Longer Dated.
Regressed Prices |
| Timeline |
Pair Trading with LG Longer
One of the main advantages of trading using pair correlations is that every trade hedges away some risk. Because there are two separate transactions required, even if LG Longer position performs unexpectedly, the other equity can make up some of the losses. Pair trading also minimizes risk from directional movements in the market. For example, if an entire industry or sector drops because of unexpected headlines, the short position in LG Longer will appreciate offsetting losses from the drop in the long position's value.Moving together with COMF Etf
| 0.69 | EMIM | iShares Core MSCI | PairCorr |
The ability to find closely correlated positions to LG Longer could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace LG Longer when you sell it. If you don't do this, your portfolio allocation will be skewed against your target asset allocation. So, investors can't just sell and buy back LG Longer - that would be a violation of the tax code under the "wash sale" rule, and this is why you need to find a similar enough asset and use the proceeds from selling LG Longer Dated to buy it.
The correlation of LG Longer is a statistical measure of how it moves in relation to other instruments. This measure is expressed in what is known as the correlation coefficient, which ranges between -1 and +1. A perfect positive correlation (i.e., a correlation coefficient of +1) implies that as LG Longer moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if LG Longer Dated moves in either direction, the perfectly negatively correlated security will move in the opposite direction. If the correlation is 0, the equities are not correlated; they are entirely random. A correlation greater than 0.8 is generally described as strong, whereas a correlation less than 0.5 is generally considered weak.
Correlation analysis and pair trading evaluation for LG Longer can also be used as hedging techniques within a particular sector or industry or even over random equities to generate a better risk-adjusted return on your portfolios.Check out LG Longer Correlation, LG Longer Volatility and LG Longer Alpha and Beta module to complement your research on LG Longer. You can also try the Companies Directory module to evaluate performance of over 100,000 Stocks, Funds, and ETFs against different fundamentals.
LG Longer technical etf analysis exercises models and trading practices based on price and volume transformations, such as the moving averages, relative strength index, regressions, price and return correlations, business cycles, etf market cycles, or different charting patterns.