DB Crude Oil Backtested Returns
We consider DB Crude not too risky. DB Crude Oil
retains Efficiency (Sharpe Ratio) of 0.0675 which denotes DB Crude Oil
had 0.0675% of return per unit of price deviation over the last 1 month. Our way in which we are predicting 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 DB Crude which you can use to evaluate future volatility of the entity. Please confirm DB Crude Oil Double Short ETN Standard Deviation
of 2.61, Market Risk Adjusted Performance
of 0.23 and Downside Deviation of 2.43 to check if risk estimate we provide are consistent with the epected return of 0.1757%. The entity owns Beta (Systematic Risk) of -0.8376 which denotes to the fact that as returns on market increase, returns on owning DB Crude are expected to decrease at a much smaller rate. During bear market, DB Crude is likely to outperform the market.. Although it is extremely important to respect DB Crude Oil existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are predicting 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 examining DB Crude Oil technical indicators you can at this moment evaluate if the expected return of 0.1757% will be sustainable into the future.
|15 days auto-correlation||(0.67) |
Very good reverse predictability
DB Crude Oil Double Short ETN has very good reverse predictability. Overlapping area represents the amount of predictability between DB Crude time series from January 22, 2018 to February 6, 2018 and February 6, 2018 to February 21, 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 DB Crude Oil price movement. The serial correlation of -0.67 indicates that around 67.0% of current DB Crude price fluctuation can be explain by its past prices. Given that DB Crude Oil Double Short ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of DB Crude for similar time interval.
|Correlation Coefficient|| -0.67|
|Spearman Rank Test|| 0.17|
|Price Variance|| 7.19|
|Lagged Price Variance|| 3.48|
DB Crude Lagged Returns