DB Crude Backtesting

DTO -- USA Etf  

USD 70.00  0.35  0.50%

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
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Backtest

DB Crude 'What if' Analysis

May 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
June 21, 2018
0.00
If you would invest  0.00  in DB Crude on May 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 Direxion Daily, ProShares Ultra, ProShares Ultra, ProShares Ultra, ProShares UltraPro, Direxion Daily, and ProShares UltraSh. 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

Downside Deviation2.39
Information Ratio0.3298
Maximum Drawdown12.38
Value At Risk2.05
Potential Upside5.72
  

DB Crude Market Premium Indicators

Risk Adjusted Performance0.01
Sortino Ratio0.3851

DB Crude Oil Backtested Returns

Macroaxis considers DB Crude not too volatile given 1 month investment horizon. DB Crude Oil retains Efficiency (Sharpe Ratio) of 0.3119 which denotes DB Crude Oil had 0.3119% 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. By examining DB Crude Oil technical indicators you can at this moment evaluate if the expected return of 0.89% is justified by implied risk. Please utilize DB Crude Oil Double Short ETN Standard Deviation of 2.79 and Downside Deviation of 2.39 to check if our risk estimates are consistent with your expectations. The entity owns Beta (Systematic Risk) of 0.0 which denotes to the fact that the returns on MARKET and DB Crude are completely uncorrelated. Although it is vital to follow to DB Crude Oil existing price patterns, it is good to be conservative about what you can actually do with the information regarding 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. We have found twenty-six technical indicators for DB Crude which you can use to evaluate performance of the entity.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.22 

Weak predictability

DB Crude Oil Double Short ETN has weak predictability. Overlapping area represents the amount of predictability between DB Crude time series from May 22, 2018 to June 6, 2018 and June 6, 2018 to June 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 0.22 indicates that over 22.0% of current DB Crude price fluctuation can be explain by its past prices.
Correlation Coefficient 0.22
Spearman Rank Test 0.34
Price Variance 1.6
Lagged Price Variance 16.25

DB Crude Oil lagged returns against current returns

 Current and Lagged Values 
      Timeline 

DB Crude regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

DB Crude Lagged Returns

 Regressed Prices 
      Timeline 

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Pair Correlation

Compare performance and examine historical correlation between any two equity instruments
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Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for DB Crude and Direxion Daily Techn. 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 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. Please also try Portfolio Reporting module to create custom reports across your portfolios and generate quick suggestion pitch.