VanEck Vectors Backtesting

BBH -- USA Etf  

USD 128.29  0.24  0.19%

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.
 Time Horizon     30 Days    Login   to change

VanEck Vectors 'What if' Analysis

June 21, 2018
No Change 0.00  0.0%
In 31 days
July 21, 2018
If you would invest  0.00  in VanEck Vectors on June 21, 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 30 days. VanEck Vectors is related to or competes with Financial Select, Technology Select, Vanguard Information, Energy Select, Health Care, Consumer Discret, and INDUSTRIAL SPDR. VanEck Vectors Biotech ETF is USA based ETF administrated by Van Eck Associates Corporation

VanEck Vectors Upside/Downside Indicators

Downside Deviation1.09
Information Ratio0.0509
Maximum Drawdown3.75
Value At Risk1.63
Potential Upside2.0

VanEck Vectors Market Premium Indicators

Risk Adjusted Performance0.1052
Jensen Alpha0.1396
Total Risk Alpha0.05
Sortino Ratio0.0527
Treynor Ratio0.5442

VanEck Vectors Biotech Backtested Returns

Macroaxis considers VanEck Vectors not too risky given 1 month investment horizon. VanEck Vectors Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2121 which indicates VanEck Vectors Biotech had 0.2121% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a etf is to use all available market data together with company 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 operate VanEck Vectors Semi Deviation of 0.6983, Coefficient Of Variation of 591.39 and Risk Adjusted Performance of 0.1052 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.3315 which indicates as returns on market increase, VanEck Vectors returns are expected to increase less than the market. However during bear market, the loss on holding VanEck Vectors will be expected to be smaller as well.. 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 0.233% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.07) 

Very weak reverse predictability

VanEck Vectors Biotech ETF has very weak reverse predictability. Overlapping area represents the amount of predictability between VanEck Vectors time series from June 21, 2018 to July 6, 2018 and July 6, 2018 to July 21, 2018. 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 -0.07 indicates that barely 7.0% 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 -0.07
Spearman Rank Test 0.26
Price Variance 0.95
Lagged Price Variance 5.52

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 

Current Sentiment - BBH

VanEck Vectors Biotech Investor Sentiment
Greater number of Macroaxis users are currently bullish on VanEck Vectors Biotech ETF. What is your outlook on investing in VanEck Vectors Biotech ETF? Are you bullish or bearish?
98% Bullish
2% Bearish

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for VanEck Vectors and Financial Select Sector. 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
Run Pair Correlation  
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 Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.