ETFS Bloomberg Backtesting

BCD -- USA Etf  

USD 25.75  0.16  0.62%

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.
Horizon     30 Days    Login   to change

ETFS Bloomberg 'What if' Analysis

September 23, 2018
No Change 0.00  0.0%
In 30 days
October 23, 2018
If you would invest  0.00  in ETFS Bloomberg on September 23, 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 ELEMENTS Rogers, Barclays Bank, GraniteShares SPGSCI, USCF SummerHaven, Credit Suisse, Home Depot, and International Business. 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 Ratio0.3403
Maximum Drawdown2.23
Value At Risk1.03
Potential Upside1.08

ETFS Bloomberg Market Premium Indicators

Risk Adjusted Performance0.0741
Jensen Alpha0.0654
Total Risk Alpha0.1336
Treynor Ratio0.2138

ETFS Bloomberg All Backtested Returns

We consider ETFS Bloomberg not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of 0.0752 which denotes ETFS Bloomberg All had 0.0752% of return per unit of return volatility over the last 1 month. Our approach to predicting 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-one technical indicators for ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr which you can use to evaluate future volatility of the entity. Please confirm ETFS Bloomberg All Mean Deviation of 0.4346 to check if risk estimate we provide are consistent with the epected return of 0.0461%. The organization shows Beta (market volatility) of 0.1691 which denotes to the fact that as returns on market increase, ETFS Bloomberg returns are expected to increase less than the market. However during bear market, the loss on holding ETFS Bloomberg will be expected to be smaller as well.. Although it is extremely important to respect ETFS Bloomberg All historical returns, it is better to be realistic regarding the information on equity current trending patterns. The approach to predicting 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 examining ETFS Bloomberg All technical indicators you can today evaluate if the expected return of 0.0461% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.56) 

Good reverse predictability

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has good reverse predictability. Overlapping area represents the amount of predictability between ETFS Bloomberg time series from September 23, 2018 to October 8, 2018 and October 8, 2018 to October 23, 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 -0.56 indicates that roughly 56.0% of current ETFS Bloomberg price fluctuation can be explain by its past prices. Given that ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ETFS Bloomberg for similar time interval.
Correlation Coefficient-0.56
Spearman Rank Test-0.37
Residual Average0.0
Price Variance0.02

ETFS Bloomberg All lagged returns against current returns

 Current and Lagged Values 

ETFS Bloomberg regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ETFS Bloomberg Lagged Returns

 Regressed Prices 

Current Sentiment - BCD

ETFS Bloomberg All Investor Sentiment

Macroaxis portfolio users are unresponsive in their opinion about investing in ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr. What is your opinion about investing in ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr? Are you bullish or bearish?
50% Bullish
50% Bearish

ETFS Bloomberg Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for ETFS Bloomberg and ELEMENTS Rogers Intl. 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 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 Idea Analyzer module to analyze all characteristics, volatility and risk-adjusted return of macroaxis ideas.