PowerShares Backtesting

DBO -- USA Etf  

USD 12.63  0.20  1.56%

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

PowerShares 'What if' Analysis

August 19, 2018
No Change 0.00  0.0%
In 31 days
September 18, 2018
If you would invest  0.00  in PowerShares on August 19, 2018 and sell it all today you would earn a total of 0.00 from holding PowerShares DB Oil ETF or generate 0.0% return on investment in PowerShares over 30 days. PowerShares is related to or competes with United States, United States, iPath B, United States, United States, and ELEMENTS Rogers. The investment seeks to track the DBIQ Optimum Yield Crude Oil Index Excess Return , which is intended to reflect the ch...

PowerShares Upside/Downside Indicators

Downside Deviation1.07
Information Ratio0.1718
Maximum Drawdown4.92
Value At Risk1.50
Potential Upside2.42

PowerShares Market Premium Indicators

Risk Adjusted Performance0.0976
Jensen Alpha0.2182
Total Risk Alpha0.0266
Sortino Ratio0.1902
Treynor Ratio0.3468

PowerShares DB Oil Backtested Returns

Macroaxis considers PowerShares not too volatile given 1 month investment horizon. PowerShares DB Oil maintains Sharpe Ratio (i.e. Efficiency) of 0.2679 which implies PowerShares DB Oil had 0.2679% of return per unit of risk over the last 1 month. Our philosophy towards forecasting volatility of an etf is to use all available market data together with etf 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 employ PowerShares DB Oil Coefficient Of Variation of 404.65, Semi Deviation of 0.5067 and Risk Adjusted Performance of 0.0976 to confirm if our risk estimates are consistent with your expectations. The etf holds Beta of 0.8161 which implies as returns on market increase, PowerShares returns are expected to increase less than the market. However during bear market, the loss on holding PowerShares will be expected to be smaller as well.. Although it is vital to follow to PowerShares DB Oil current trending patterns, it is good to be conservative about what you can actually do with the information regarding 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 0.2919% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.33 

Below average predictability

PowerShares DB Oil ETF has below average predictability. Overlapping area represents the amount of predictability between PowerShares time series from August 19, 2018 to September 3, 2018 and September 3, 2018 to September 18, 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 PowerShares DB Oil price movement. The serial correlation of 0.33 indicates that nearly 33.0% of current PowerShares price fluctuation can be explain by its past prices.
Correlation Coefficient0.33
Spearman Rank Test0.57
Residual Average0.0
Price Variance0.02

PowerShares DB Oil lagged returns against current returns

 Current and Lagged Values 

PowerShares regressed lagged prices vs. current prices

 Current vs Lagged Prices 

PowerShares Lagged Returns

 Regressed Prices 

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PowerShares Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for PowerShares and United States Oil. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
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Additionally see PowerShares Hype Analysis, PowerShares Correlation, Portfolio Optimization, PowerShares Volatility as well as analyze PowerShares Alpha and Beta and PowerShares Performance. Please also try Positions Ratings module to determine portfolio positions ratings based on digital equity recommendations. macroaxis instant position ratings are based on combination of fundamental analysis and risk-adjusted market performance.
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