ETFS Bloomberg Backtesting

BCD -- USA Etf  

USD 25.18  0.26  1.04%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr and determine expected loss or profit from investing in ETFS Bloomberg over given investment horizon. Check also ETFS Bloomberg Hype Analysis, ETFS Bloomberg Correlation, Portfolio Optimization, ETFS Bloomberg Volatility as well as analyze ETFS Bloomberg Alpha and Beta and ETFS Bloomberg Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ETFS Bloomberg 'What if' Analysis

June 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 22, 2018
0.00
If you would invest  0.00  in ETFS Bloomberg on June 22, 2018 and sell it all today you would earn a total of 0.00 from holding ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr or generate 0.0% return on investment in ETFS Bloomberg over 30 days. ETFS Bloomberg is related to or competes with PowerShares DB, PowerShares Optm, iPath Bloomberg, ELEMENTS Rogers, First Trust, WisdomTree Continuous, and BCI. The investment seeks to provide a total return designed to exceed the performance of the Bloomberg Commodity Index 3 Mon...

ETFS Bloomberg Upside/Downside Indicators

Information Ratio0.32
Maximum Drawdown3.44
Value At Risk1.70
Potential Upside0.8867
  

ETFS Bloomberg Market Premium Indicators

Risk Adjusted Performance0.08
Jensen Alpha0.14
Total Risk Alpha0.37
Treynor Ratio1.1

ETFS Bloomberg All Backtested Returns

Macroaxis considers ETFS Bloomberg to be not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of -0.2081 which denotes ETFS Bloomberg All had -0.2081% of return per unit of return volatility over the last 1 month. Macroaxis approach to predicting 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. ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr exposes twenty-one different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm ETFS Bloomberg All Mean Deviation of 0.6141 to check risk estimate we provide. The organization shows Beta (market volatility) of -0.1459 which denotes to the fact that as returns on market increase, returns on owning ETFS Bloomberg are expected to decrease at a much smaller rate. During bear market, ETFS Bloomberg is likely to outperform the market.. Even though it is essential to pay attention to ETFS Bloomberg All historical returns, it is always good to be careful when utilizing equity current trending patterns. Macroaxis approach to predicting 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. ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.30 

Below average predictability

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has below average predictability. Overlapping area represents the amount of predictability between ETFS Bloomberg time series from June 22, 2018 to July 7, 2018 and July 7, 2018 to July 22, 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 ETFS Bloomberg All price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current ETFS Bloomberg price fluctuation can be explain by its past prices.
Correlation Coefficient 0.3
Spearman Rank Test 0.36
Price Variance 0.1
Lagged Price Variance 0.02

ETFS Bloomberg All lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ETFS Bloomberg regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ETFS Bloomberg Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for ETFS Bloomberg and PowerShares DB Commo. 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 ETFS Bloomberg Hype Analysis, ETFS Bloomberg Correlation, Portfolio Optimization, ETFS Bloomberg Volatility as well as analyze ETFS Bloomberg Alpha and Beta and ETFS Bloomberg Performance. Please also try Price Transformation module to use price transformation models to analyze depth of different equity instruments across global markets.
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