Virtus LifeSci Backtesting

BBP -- USA Etf  

USD 44.21  0.97  2.15%

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

Virtus LifeSci 'What if' Analysis

August 27, 2018
No Change 0.00  0.0%
In 31 days
September 26, 2018
If you would invest  0.00  in Virtus LifeSci on August 27, 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 iShares US, JHancock Multifactor, Obesity ETF, Walmart, United Technologies, and Procter Gamble. The investment seeks investment results that correspond, before fees and expenses, to the price and yield performance of...

Virtus LifeSci Upside/Downside Indicators

Downside Deviation1.1
Maximum Drawdown3.17
Value At Risk1.04
Potential Upside1.4

Virtus LifeSci Market Premium Indicators

Risk Adjusted Performance0.01

Virtus LifeSci Biotech Backtested Returns

We consider Virtus LifeSci not too risky. Virtus LifeSci Biotech owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0722 which indicates Virtus LifeSci Biotech had 0.0722% of return per unit of risk over the last 1 month. 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 technical indicators for Virtus LifeSci Biotech Products ETF which you can use to evaluate future volatility of the etf. Please validate Virtus LifeSci Semi Deviation of 0.86, Coefficient Of Variation of 1385.74 and Risk Adjusted Performance of 0.01 to confirm if risk estimate we provide are consistent with the epected return of 0.0623%. The entity has beta of 0.0 which indicates the returns on MARKET and Virtus LifeSci are completely uncorrelated. Although it is extremely important to respect Virtus LifeSci 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 Virtus LifeSci Biotech technical indicators you can presently evaluate if the expected return of 0.0623% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.73) 

Almost perfect reverse predictability

Virtus LifeSci Biotech Products ETF has almost perfect reverse predictability. Overlapping area represents the amount of predictability between Virtus LifeSci time series from August 27, 2018 to September 11, 2018 and September 11, 2018 to September 26, 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 -0.73 indicates that around 73.0% 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-0.73
Spearman Rank Test-0.41
Residual Average0.0
Price Variance0.16

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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Virtus LifeSci Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for Virtus LifeSci and iShares US Healthcare. 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 Fundamental Analysis module to view fundamental data based on most recent published financial statements.