United States Backtesting

United States Brent Oil -- USA Etf  

USD 18.81  0.02  0.11%

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
 Time Horizon     30 Days    Login   to change

United States 'What if' Analysis

December 20, 2017
No Change 0.00  0.0%
In 30 days
January 19, 2018
If you would invest  0.00  in United States on December 20, 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 not too volatile given 1 month investment horizon. United States Brent owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.5008 which indicates United States Brent had 0.5008% of return per unit of risk over the last 1 month. Our philosophy towards measuring 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 United States Brent Oil which you can use to evaluate future volatility of the etf. Please operate United States Coefficient Of Variation of 166.79 and Risk Adjusted Performance of 0.2627 to confirm if our risk estimates are consistent with your expectations. The entity has beta of -0.3814 which indicates as returns on market increase, returns on owning United States are expected to decrease at a much smaller rate. During bear market, United States is likely to outperform the market.. Although it is vital to follow to United States Brent current price movements, it is good to be conservative about what you can actually do with the information regarding 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 United States Brent technical indicators you can presently evaluate if the expected return of 0.3874% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.84 

Very good predictability

United States Brent Oil has very good predictability. Overlapping area represents the amount of predictability between United States time series from December 20, 2017 to January 4, 2018 and January 4, 2018 to January 19, 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 United States Brent price movement. The serial correlation of 0.84 indicates that around 84.0% of current United States price fluctuation can be explain by its past prices.
Correlation Coefficient 0.84
Spearman Rank Test 0.83
Price Variance 0.03
Lagged Price Variance 0.12

United States Lagged Returns

 Regressed Prices 

United States Performance vs DOW

The median price of United States for the period between Wed, Dec 20, 2017 and Fri, Jan 19, 2018 is 18.42 with a coefficient of variation of 3.45. The daily time series for the period is distributed with a sample standard deviation of 0.63, arithmetic mean of 18.16, and mean deviation of 0.53. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)