Deutsche Enhanced Commodity Fund Market Value
| SKRRX Fund | USD 5.91 0.01 0.17% |
| Symbol | Deutsche |
Deutsche Enhanced '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 Deutsche Enhanced'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 Deutsche Enhanced.
| 03/26/2024 |
| 04/25/2024 |
If you would invest 0.00 in Deutsche Enhanced on March 26, 2024 and sell it all today you would earn a total of 0.00 from holding Deutsche Enhanced Commodity or generate 0.0% return on investment in Deutsche Enhanced over 30 days. Deutsche Enhanced is related to or competes with Commodityrealreturn, and Pimco Commoditiesplus. Under normal circumstances, the fund invests in commodity-linked derivative instruments backed by a portfolio of fixed i... More
Deutsche Enhanced 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 Deutsche Enhanced'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 Deutsche Enhanced Commodity upside and downside potential and time the market with a certain degree of confidence.
| Downside Deviation | 0.4471 | |||
| Information Ratio | 0.015 | |||
| Maximum Drawdown | 1.62 | |||
| Value At Risk | (0.53) | |||
| Potential Upside | 0.8993 |
Deutsche Enhanced Market Risk Indicators
Today, many novice investors tend to focus exclusively on investment returns with little concern for Deutsche Enhanced's investment risk. Other traders do consider volatility but use just one or two very conventional indicators such as Deutsche Enhanced's standard deviation. In reality, there are many statistical measures that can use Deutsche Enhanced historical prices to predict the future Deutsche Enhanced's volatility.| Risk Adjusted Performance | 0.146 | |||
| Jensen Alpha | 0.0913 | |||
| Total Risk Alpha | 0.0341 | |||
| Sortino Ratio | 0.0141 | |||
| Treynor Ratio | 22.9 |
Sophisticated investors, who have witnessed many market ups and downs, anticipate that the market will even out over time. This tendency of Deutsche Enhanced'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.
Deutsche Enhanced Backtested Returns
We consider Deutsche Enhanced very steady. Deutsche Enhanced secures Sharpe Ratio (or Efficiency) of 0.2, which denotes the fund had a 0.2% return per unit of risk over the last 3 months. We have found twenty-seven technical indicators for Deutsche Enhanced Commodity, which you can use to evaluate the volatility of the entity. Please confirm Deutsche Enhanced's Standard Deviation of 0.42, mean deviation of 0.3175, and Coefficient Of Variation of 413.35 to check if the risk estimate we provide is consistent with the expected return of 0.0821%. The fund shows a Beta (market volatility) of 0.004, which means not very significant fluctuations relative to the market. As returns on the market increase, Deutsche Enhanced's returns are expected to increase less than the market. However, during the bear market, the loss of holding Deutsche Enhanced is expected to be smaller as well.
Auto-correlation | 0.61 |
Good predictability
Deutsche Enhanced Commodity has good predictability. Overlapping area represents the amount of predictability between Deutsche Enhanced 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 Deutsche Enhanced price movement. The serial correlation of 0.61 indicates that roughly 61.0% of current Deutsche Enhanced price fluctuation can be explain by its past prices.
| Correlation Coefficient | 0.61 | |
| Spearman Rank Test | 0.67 | |
| Residual Average | 0.0 | |
| Price Variance | 0.0 |
Deutsche Enhanced lagged returns against current returns
Autocorrelation, which is Deutsche Enhanced 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 Deutsche Enhanced's mutual fund expected returns. We can calculate the autocorrelation of Deutsche Enhanced returns to help us make a trade decision. For example, suppose you find that Deutsche Enhanced 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 |
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Deutsche Enhanced 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 Deutsche Enhanced mutual fund is displaying a positive serial correlation, investors will expect a positive pattern to continue. However, if Deutsche Enhanced mutual fund is observed to have a negative serial correlation, investors will generally project negative sentiment on having a locked-in long position in Deutsche Enhanced mutual fund over time.
Current vs Lagged Prices |
| Timeline |
Deutsche Enhanced Lagged Returns
When evaluating Deutsche Enhanced's market value, investors can use the concept of autocorrelation to see how much of an impact past prices of Deutsche Enhanced mutual fund have on its future price. Deutsche Enhanced 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, Deutsche Enhanced autocorrelation shows the relationship between Deutsche Enhanced mutual fund current value and its past values and can show if there is a momentum factor associated with investing in Deutsche Enhanced Commodity.
Regressed Prices |
| Timeline |
Currently Active Assets on Macroaxis
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Deutsche Enhanced 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.