PowerShares DB Oil Backtested Returns
We consider PowerShares DB not very risky. PowerShares DB Oil
maintains Sharpe Ratio (i.e. Efficiency) of 0.0134 which implies PowerShares DB Oil
had 0.0134% of return per unit of risk over the last 1 month. Our philosophy towards forecasting 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 PowerShares DB Oil which you can use to evaluate future volatility of the etf. Please check PowerShares DB Oil Coefficient Of Variation
of (212,366) and Risk Adjusted Performance of 0.0061 to confirm if risk estimate we provide are consistent with the epected return of 0.0181%. The etf holds Beta of -0.283 which implies as returns on market increase, returns on owning PowerShares DB are expected to decrease at a much smaller rate. During bear market, PowerShares DB is likely to outperform the market.. Although it is extremely important to respect PowerShares DB Oil current trending patterns, it is better to be realistic regarding the information on equity existing price patterns. The philosophy towards forecasting 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 analyzing PowerShares DB Oil technical indicators you can presently evaluate if the expected return of 0.0181% will be sustainable into the future.
|15 days auto-correlation||(0.22) |
Weak reverse predictability
PowerShares DB Oil ETF has weak reverse predictability. Overlapping area represents the amount of predictability between PowerShares DB time series from November 13, 2017 to November 28, 2017 and November 28, 2017 to December 13, 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 PowerShares DB Oil price movement. The serial correlation of -0.22 indicates that over 22.0% of current PowerShares DB price fluctuation can be explain by its past prices. Given that PowerShares DB Oil ETF has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of PowerShares DB for similar time interval.
|Correlation Coefficient|| -0.22|
|Spearman Rank Test|| -0.5|
|Price Variance|| 0.01|
|Lagged Price Variance|| 0.03|
PowerShares DB Lagged Returns