ETFS Bloomberg Backtesting

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr -- USA Etf  

USD 26.91  0.13  0.48%

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

February 22, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 23, 2018
0.00
If you would invest  0.00  in ETFS Bloomberg on February 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 60 days. ETFS Bloomberg is related to or competes with BlackRock Asset, Deutsche Bank, Source Investment, BlackRock Asset, BlackRock Asset, BlackRock Asset, and HSBC MSCI. ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr is USA based ETF administrated by JPMorgan Chase Bank, N.A.

ETFS Bloomberg Upside/Downside Indicators

Downside Deviation0.5763
Information Ratio0.3033
Maximum Drawdown3.04
Value At Risk0.72
Potential Upside1.6
  

ETFS Bloomberg Market Premium Indicators

Risk Adjusted Performance0.2789
Jensen Alpha0.1051
Total Risk Alpha0.1479
Sortino Ratio0.3569
Treynor Ratio2.93

ETFS Bloomberg All Backtested Returns

We consider ETFS Bloomberg not too risky. ETFS Bloomberg All secures Sharpe Ratio (or Efficiency) of 0.0816 which denotes ETFS Bloomberg All had 0.0816% of return per unit of return volatility over the last 2 months. Our approach to predicting 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 ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr which you can use to evaluate future volatility of the entity. Please confirm ETFS Bloomberg All Downside Deviation of 0.5763 and Mean Deviation of 0.481 to check if risk estimate we provide are consistent with the epected return of 0.055%. The organization shows Beta (market volatility) of -0.0371 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.. 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 0.055% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.73) 

Almost perfect reverse predictability

ETFS Bloomberg All CmdtyLngrDtdStrtK 1Fr has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ETFS Bloomberg time series from February 22, 2018 to March 24, 2018 and March 24, 2018 to April 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 -0.73 indicates that around 73.0% 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 -0.73
Spearman Rank Test -0.7
Price Variance 0.15
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 

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?
Bullish
Bearish
50% Bullish
50% Bearish
Skip

BATS Exchange Efficient Frontier

Diversify in USA Market
The main assumption in equity investing is that a higher degree of volatility (or risk) means a higher potential (or expected) return on investment. Conversely, investors who take on a low degree of risk have a low expection for return.
Diversify Portfolios
You can create optimal portfolios in USA market or optimize your existing portfolio in one of two ways: 1) For any level of risk, select the one which has the highest expected return. 2) For any expected return, select the one which has the lowest volatility.
Diversify Portfolios
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 Equity Valuation module to check real value of public entities based on technical and fundamental data.