Blackrock Commodity Strategies Fund Market Value
| BCSCX Fund | USD 8.19 0.01 0.12% |
| Symbol | Blackrock |
Blackrock Commodity '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 Blackrock Commodity's mutual fund 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 Blackrock Commodity.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Blackrock Commodity on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Blackrock Commodity Strategies or generate 0.0% return on investment in Blackrock Commodity over 30 days. Blackrock Commodity is related to or competes with Commodityrealreturn, and Pimco Commoditiesplus. The adviser utilizes two strategies and under normal circumstances expects to invest approximately 50 percent of its tot... More
Blackrock Commodity 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 Blackrock Commodity's mutual fund 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 Blackrock Commodity Strategies upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.5971 | |||
| Information Ratio | 0.0937 | |||
| Maximum Drawdown | 2.29 | |||
| Value At Risk | (0.79) | |||
| Potential Upside | 1.14 |
Blackrock Commodity Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Blackrock Commodity's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Blackrock Commodity's standard deviation. In reality, there are many statistical measures that can use Blackrock Commodity historical prices to predict the future Blackrock Commodity's volatility.| Risk Adjusted Performance | 0.1573 | |||
| Jensen Alpha | 0.104 | |||
| Total Risk Alpha | 0.0595 | |||
| Sortino Ratio | 0.0941 | |||
| Treynor Ratio | 0.3219 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Blackrock Commodity'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.
Blackrock Commodity Backtested Returns
We consider Blackrock Commodity very steady. Blackrock Commodity secures Sharpe Ratio (or Efficiency) of 0.21, which signifies that the fund had a 0.21% return per unit of standard deviation over the last 3 months. We have found twenty-eight technical indicators for Blackrock Commodity Strategies, which you can use to evaluate the volatility of the entity. Please confirm Blackrock Commodity's mean deviation of 0.4724, and Risk Adjusted Performance of 0.1573 to double-check if the risk estimate we provide is consistent with the expected return of 0.13%. The fund shows a Beta (market volatility) of 0.44, which signifies possible diversification benefits within a given portfolio. As returns on the market increase, Blackrock Commodity's returns are expected to increase less than the market. However, during the bear market, the loss of holding Blackrock Commodity is expected to be smaller as well.
Auto-correlation | -0.7 |
Very good reverse predictability
Blackrock Commodity Strategies has very good reverse predictability. Overlapping area represents the amount of predictability between Blackrock Commodity time series from 26th of March 2024 to 10th of April 2024 and 10th of April 2024 to 25th of April 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 Blackrock Commodity price movement. The serial correlation of -0.7 indicates that around 70.0% of current Blackrock Commodity price fluctuation can be explain by its past prices.
| Correlation Coefficient | -0.7 | |
| Spearman Rank Test | -0.42 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Blackrock Commodity lagged returns against current returns
Autocorrelation, which is Blackrock Commodity mutual fund'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 Blackrock Commodity's mutual fund expected returns. We can calculate the autocorrelation of Blackrock Commodity returns to help us make a trade decision. For example, suppose you find that Blackrock Commodity has exhibited high autocorrelation historically, and you observe that the mutual fund 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 |
Blackrock Commodity 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 Blackrock Commodity mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Blackrock Commodity mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Blackrock Commodity mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Blackrock Commodity Lagged Returns
When evaluating Blackrock Commodity's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Blackrock Commodity mutual fund have on its future price. Blackrock Commodity 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, Blackrock Commodity autocorrelation shows the relationship between Blackrock Commodity mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Blackrock Commodity Strategies.
Regressed Prices |
| Timeline |
Some investors attempt to determine whether the market's mood is bullish or bearish by monitoring changes in market sentiment. Unlike more traditional methods such as technical analysis, investor sentiment usually refers to the aggregate attitude towards Blackrock Commodity in the overall investment community. So, suppose investors can accurately measure the market's sentiment. In that case, they can use it for their benefit. For example, some tools to gauge market sentiment could be utilized using contrarian indexes, Blackrock Commodity's short interest history, or implied volatility extrapolated from Blackrock Commodity options trading.
Pair Trading with Blackrock Commodity
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 Blackrock Commodity 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 Blackrock Commodity will appreciate offsetting losses from the drop in the long position's value.Moving together with Blackrock Mutual Fund
| 0.68 | MKCPX | Blackrock Balanced | PairCorr |
| 0.66 | MKDCX | Blackrock Emerging | PairCorr |
| 0.73 | MKDVX | Blackrock Equity Dividend | PairCorr |
The ability to find closely correlated positions to Blackrock Commodity could be a great tool in your tax-loss harvesting strategies, allowing investors a quick way to find a similar-enough asset to replace Blackrock Commodity 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 Blackrock Commodity - 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 Blackrock Commodity Strategies to buy it.
The correlation of Blackrock Commodity 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 Blackrock Commodity moves, either up or down, the other security will move in the same direction. Alternatively, perfect negative correlation means that if Blackrock Commodity 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 Blackrock Commodity 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 Blackrock Commodity Correlation, Blackrock Commodity Volatility and Blackrock Commodity Alpha and Beta module to complement your research on Blackrock Commodity. Note that the Blackrock Commodity information on this page should be used as a complementary analysis to other Blackrock Commodity's statistical models used to find the right mix of equity instruments to add to your existing portfolios or create a brand new portfolio. You can also try the Latest Portfolios module to quick portfolio dashboard that showcases your latest portfolios.
Blackrock Commodity technical mutual fund 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, fund market cycles, or different charting patterns.