Virtus LifeSci Backtesting

BBP -- USA Etf  

USD 36.83  0.0004  0.0011%

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

Virtus LifeSci 'What if' Analysis

October 16, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
December 15, 2018
0.00
If you would invest  0.00  in Virtus LifeSci on October 16, 2018 and sell it all today you would earn a total of 0.00 from holding Virtus LifeSci Biotech Products ETF or generate 0.0% return on investment in Virtus LifeSci over 60 days. Virtus LifeSci is related to or competes with Health Care, Vanguard Health, iShares Nasdaq, SPDR SP, iShares US, First Trust, and Fidelity MSCI. The investment seeks investment results that correspond, before fees and expenses, to the price and yield performance of...

Virtus LifeSci Upside/Downside Indicators

Information Ratio(0.023783)
Maximum Drawdown11.62
Value At Risk(4.77)
Potential Upside4.28
  

Virtus LifeSci Market Premium Indicators

Risk Adjusted Performance(0.08)
Jensen Alpha(0.020985)
Total Risk Alpha0.0651
Treynor Ratio(0.13)

Virtus LifeSci Biotech Backtested Returns

Macroaxis considers Virtus LifeSci to be not too volatile. Virtus LifeSci Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0966 which indicates Virtus LifeSci Biotech had -0.0966% of return per unit of risk over the last 2 months. Macroaxis philosophy towards measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators. Virtus LifeSci Biotech Products ETF exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate Virtus LifeSci Coefficient Of Variation of (1,599) and Risk Adjusted Performance of (0.08) to confirm risk estimate we provide. The entity has beta of 1.3796 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, Virtus LifeSci will likely underperform.. Even though it is essential to pay attention to Virtus LifeSci Biotech current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. Virtus LifeSci Biotech Products ETF exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 
correlation synergy

Good reverse predictability

Virtus LifeSci Biotech Products ETF has good reverse predictability. Overlapping area represents the amount of predictability between Virtus LifeSci time series from October 16, 2018 to November 15, 2018 and November 15, 2018 to December 15, 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 Virtus LifeSci Biotech price movement. The serial correlation of -0.56 indicates that roughly 56.0% of current Virtus LifeSci price fluctuation can be explain by its past prices. Given that Virtus LifeSci Biotech Products ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Virtus LifeSci for similar time interval.
Correlation Coefficient-0.56
Spearman Rank Test0.05
Residual Average0.0
Price Variance0.82

Virtus LifeSci Biotech lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Virtus LifeSci regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Virtus LifeSci Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Efficient Frontier Now

   

Efficient Frontier

Plot and analyze your portfolio and positions against risk-return landscape of the market.
All  Next Launch Efficient Frontier

Virtus LifeSci Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Virtus LifeSci 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
Run Pair Correlation  
Check also Virtus LifeSci Hype Analysis, Virtus LifeSci Correlation, Portfolio Optimization, Virtus LifeSci Volatility as well as analyze Virtus LifeSci Alpha and Beta and Virtus LifeSci Performance. Please also try Portfolio Center module to all portfolio management and optimization tools to improve performance of your portfolios.
Search macroaxis.com