VanEck Vectors Backtesting

BBH -- USA Etf  

USD 126.95  0.83  0.01%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of VanEck Vectors Biotech ETF and determine expected loss or profit from investing in VanEck Vectors over given investment horizon. Check also VanEck Vectors Hype Analysis, VanEck Vectors Correlation, Portfolio Optimization, VanEck Vectors Volatility as well as analyze VanEck Vectors Alpha and Beta and VanEck Vectors Performance.
Horizon     30 Days    Login   to change

VanEck Vectors 'What if' Analysis

November 19, 2018
No Change 0.00  0.0%
In 2 months and 2 days
January 18, 2019
If you would invest  0.00  in VanEck Vectors on November 19, 2018 and sell it all today you would earn a total of 0.00 from holding VanEck Vectors Biotech ETF or generate 0.0% return on investment in VanEck Vectors over 60 days. VanEck Vectors is related to or competes with Health Care, Vanguard Health, iShares Nasdaq, SPDR SP, iShares US, First Trust, and iShares US. The investment seeks to replicate as closely as possible, before fees and expenses, the price and yield performance of t...

VanEck Vectors Upside/Downside Indicators

Downside Deviation1.94
Information Ratio0.0983
Maximum Drawdown8.86
Value At Risk(3.01)
Potential Upside2.67

VanEck Vectors Market Premium Indicators

Risk Adjusted Performance0.1475
Jensen Alpha0.1977
Total Risk Alpha0.2081
Sortino Ratio0.105
Treynor Ratio0.1657

VanEck Vectors Biotech Backtested Returns

We consider VanEck Vectors not too risky. VanEck Vectors Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0734 which indicates the organization had 0.0734% of return per unit of risk over the last 2 months. Our philosophy towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-eight technical indicators for VanEck Vectors Biotech ETF which you can use to evaluate future volatility of the etf. Please validate VanEck Vectors Coefficient Of Variation of 1323.13, Semi Deviation of 1.71 and Risk Adjusted Performance of 0.1475 to confirm if risk estimate we provide are consistent with the epected return of 0.1539%. The entity has beta of 0.8873 which indicates VanEck Vectors returns are very sensitive to returns on the market. as market goes up or down, VanEck Vectors is expected to follow. Although it is extremely important to respect VanEck Vectors Biotech current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards measuring future performance of any etf is to evaluate the business as a whole together with its past performance including all available fundamental and technical indicators. By inspecting VanEck Vectors Biotech technical indicators you can presently evaluate if the expected return of 0.1539% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.38) 
correlation synergy

Poor reverse predictability

VanEck Vectors Biotech ETF has poor reverse predictability. Overlapping area represents the amount of predictability between VanEck Vectors time series from November 19, 2018 to December 19, 2018 and December 19, 2018 to January 18, 2019. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of VanEck Vectors Biotech price movement. The serial correlation of -0.38 indicates that just about 38.0% of current VanEck Vectors price fluctuation can be explain by its past prices. Given that VanEck Vectors Biotech ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of VanEck Vectors for similar time interval.
Correlation Coefficient-0.38
Spearman Rank Test-0.32
Residual Average0.0
Price Variance65.98

VanEck Vectors Biotech lagged returns against current returns

 Current and Lagged Values 

VanEck Vectors regressed lagged prices vs. current prices

 Current vs Lagged Prices 

VanEck Vectors Lagged Returns

 Regressed Prices 

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VanEck Vectors Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for VanEck Vectors and Health Care Select. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Check also VanEck Vectors Hype Analysis, VanEck Vectors Correlation, Portfolio Optimization, VanEck Vectors Volatility as well as analyze VanEck Vectors Alpha and Beta and VanEck Vectors Performance. Please also try Coins and Tokens Correlation module to utilize digital token correlation table to build portfolio of cryptocurrencies across multiple exchanges.