United States Backtesting

United States Brent Oil -- USA Etf  

USD 20.63  0.06  0.29%

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

February 23, 2018
No Change 0.00  0.0%
In 2 months and 2 days
April 24, 2018
If you would invest  0.00  in United States on February 23, 2018 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 60 days. United States is related to or competes with Realty Income, Diamond Hill, AllianceBernstein, Associated Capital, Arlington Asset, Blackstone Group, and . 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

Downside Deviation1.38
Information Ratio0.2663
Maximum Drawdown5.44
Value At Risk2.04
Potential Upside3.19

United States Market Premium Indicators

Risk Adjusted Performance0.3875
Jensen Alpha0.3449
Total Risk Alpha0.3911
Sortino Ratio0.2885
Treynor Ratio3.6

United States Brent Backtested Returns

Macroaxis considers United States not too volatile given 2 months investment horizon. United States Brent owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1886 which indicates United States Brent had 0.1886% of return per unit of risk over the last 2 months. 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-eight technical indicators for United States Brent Oil which you can use to evaluate future volatility of the etf. Please operate United States Semi Deviation of 0.9118, Coefficient Of Variation of 426.45 and Risk Adjusted Performance of 0.3875 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.0943 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.. 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 0.2809% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.62 

Good predictability

United States Brent Oil has good predictability. Overlapping area represents the amount of predictability between United States time series from February 23, 2018 to March 25, 2018 and March 25, 2018 to April 24, 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 0.62 indicates that roughly 62.0% of current United States price fluctuation can be explain by its past prices.
Correlation Coefficient 0.62
Spearman Rank Test 0.32
Price Variance 0.45
Lagged Price Variance 0.21

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 Lagged Returns

 Regressed Prices 

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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.
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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.
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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. Please also try Portfolio File Import module to quickly import all of your third-party portfolios from your local drive in csv format.