Virtus LifeSci Backtesting

BBP -- USA Etf  

USD 44.56  0.60  1.33%

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.
 Time Horizon     30 Days    Login   to change

Virtus LifeSci 'What if' Analysis

May 21, 2018
No Change 0.00  0.0%
In 31 days
June 20, 2018
If you would invest  0.00  in Virtus LifeSci on May 21, 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 30 days. Virtus LifeSci is related to or competes with First Trust, iShares Edge, iShares TIPS, Vanguard SP, Schwab US, SPDR SP, and Schwab US. The investment seeks investment results that correspond, before fees and expenses, to the price and yield performance of...

Virtus LifeSci Upside/Downside Indicators

Downside Deviation1.29
Information Ratio0.1769
Maximum Drawdown4.53
Value At Risk2.00
Potential Upside2.31

Virtus LifeSci Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.163

Virtus LifeSci Biotech Backtested Returns

Macroaxis considers Virtus LifeSci not too risky given 1 month investment horizon. Virtus LifeSci Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2853 which indicates Virtus LifeSci Biotech had 0.2853% 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-one technical indicators for Virtus LifeSci Biotech Products ETF which you can use to evaluate future volatility of the etf. Please operate Virtus LifeSci Semi Deviation of 1.1, Coefficient Of Variation of 565.27 and Risk Adjusted Performance of 0.01 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.0 which indicates the returns on MARKET and Virtus LifeSci are completely uncorrelated. Although it is vital to follow to Virtus LifeSci Biotech current price movements, it is good to be conservative about what you can actually do with the information regarding 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 Virtus LifeSci Biotech technical indicators you can presently evaluate if the expected return of 0.3151% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.64 

Good predictability

Virtus LifeSci Biotech Products ETF has good predictability. Overlapping area represents the amount of predictability between Virtus LifeSci time series from May 21, 2018 to June 5, 2018 and June 5, 2018 to June 20, 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 0.64 indicates that roughly 64.0% of current Virtus LifeSci price fluctuation can be explain by its past prices.
Correlation Coefficient 0.64
Spearman Rank Test 0.64
Price Variance 0.21
Lagged Price Variance 0.31

Virtus LifeSci Biotech lagged returns against current returns

 Current and Lagged Values 

Virtus LifeSci regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Virtus LifeSci Lagged Returns

 Regressed Prices 

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Volatility Analysis

Get historical volatility and risk analysis based on latest market data
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for Virtus LifeSci and First Trust Health. 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 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 Transaction History module to view history of all your transactions and understand their impact on performance.