United States Backtesting

United States Brent Oil -- USA Etf  

USD 15.39  0.12  0.77%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United States Brent Oil and determine expected loss or profit from investing in United States over given investment horizon. Check also United States Hype Analysis, United States Correlation, Portfolio Optimization, United States Volatility as well as analyze United States Alpha and Beta and United States Performance
Investment Horizon     30 Days    Login   to change

United States 'What if' Analysis

September 23, 2017
No Change 0.00  0.0%
In 31 days
October 23, 2017
If you would invest  0.00  in United States on September 23, 2017 and sell it all today you would earn a total of 0.00 from holding United States Brent Oil or generate 0.0% return on investment in United States over 30 days. United States is related to or competes with Realty Income, Diamond Hill, AllianceBernstein, Associated Capital, Arlington Asset, and Blackstone Group. The investment seeks the daily changes in percentage terms of its shares per share net asset value to reflect the daily ...

United States Upside/Downside Indicators


United States Market Premium Indicators

United States Brent lagged returns against current returns

 Current and Lagged Values 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United States Brent Backtested Returns

Macroaxis considers United States to be not too volatile. United States Brent owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0328 which indicates United States Brent had -0.0328% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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. United States Brent Oil exposes twenty-eight different technical indicators which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate United States Semi Deviation of 1.02, Coefficient Of Variation of 921.83 and Risk Adjusted Performance of 0.0375 to confirm risk estimate we provide. The entity has beta of 0.5199 which indicates as returns on market increase, United States returns are expected to increase less than the market. However during bear market, the loss on holding United States will be expected to be smaller as well.. Even though it is essential to pay attention to United States Brent current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. United States Brent Oil exposes twenty-eight different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.93) 

Near perfect reversele predictability

United States Brent Oil has near perfect reversele predictability. Overlapping area represents the amount of predictability between United States time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of United States Brent price movement. The serial correlation of -0.93 indicates that approximately 93.0% of current United States price fluctuation can be explain by its past prices. Given that United States Brent Oil has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of United States for similar time interval.
Correlation Coefficient -0.93
Spearman Rank Test -0.5
Price Variance 0.04
Lagged Price Variance 0.07

United States Lagged Returns

 Regressed Prices 

United States Performance vs DOW

The median price of United States for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 15.245 with a coefficient of variation of 1.59. The daily time series for the period is distributed with a sample standard deviation of 0.24, arithmetic mean of 15.23, and mean deviation of 0.2. The Etf received some media coverage during the period.
Price Growth (%)  
United States Brent Oil Declines 0.4 percent for Oct 1110/11/2017