DB Crude Backtesting

DB Crude Oil Double Short ETN -- USA Etf  

USD 82.34  0.69  0.85%

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

DB Crude 'What if' Analysis

January 22, 2018
No Change 0.00  0.0%
In 31 days
February 21, 2018
If you would invest  0.00  in DB Crude on January 22, 2018 and sell it all today you would earn a total of 0.00 from holding DB Crude Oil Double Short ETN or generate 0.0% return on investment in DB Crude over 30 days. DB Crude is related to or competes with VelocityShares 3x, ProShares UltraShort, ProShares UltraShort, ProShares UltraPro, and ProShares UltraShort. The investment seeks to track the price and yield performance, before fees and expenses, 200 percent of the inverse dail...

DB Crude Upside/Downside Indicators


DB Crude Market Premium Indicators

DB Crude Oil lagged returns against current returns

 Current and Lagged Values 

DB Crude regressed lagged prices vs. current prices

 Current vs Lagged Prices 

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

DB Crude Performance vs DOW

The median price of DB Crude for the period between Mon, Jan 22, 2018 and Wed, Feb 21, 2018 is 79.54 with a coefficient of variation of 5.36. The daily time series for the period is distributed with a sample standard deviation of 4.29, arithmetic mean of 80.06, and mean deviation of 3.53. The Etf received some media coverage during the period.
Price Growth (%)  
Oil Set To Tank Bear Strategies To Profit From It02/06/2018