Etf Backtesting

GAZ -- USA iPath Bloomberg Natural Gas Subindex Total Return ETN  

USD 2,900  2,900  1,246,676%

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

Etf 'What if' Analysis

August 20, 2018
0.00
No Change 0.00  0.0%
In 30 days
September 19, 2018
0.00
If you would invest  0.00  in Etf on August 20, 2018 and sell it all today you would earn a total of 0.00 from holding Etf or generate 0.0% return on investment in Etf over 30 days. Etf is related to or competes with BlackRock Frontiers, ProVen Growth, Etf, iPath Asian, Halliburton, and Comerica Incorporated. The investment seeks to reflect the returns that are potentially available through an unleveraged investment in the futu...

Etf Upside/Downside Indicators

Information Ratio0.3881
Maximum Drawdown1265692.17
Value At Risk99.99
Potential Upside1252240.43
  

Etf Market Premium Indicators

Risk Adjusted Performance0.1589
Jensen Alpha197663.48
Total Risk Alpha65147.22
Treynor Ratio0.57

Etf Backtested Returns

Etf is abnormally risky given 1 month investment horizon. Etf secures Sharpe Ratio (or Efficiency) of 0.3361 which denotes Etf had 0.3361% of return per unit of risk over the last 1 month. Our philosophy towards predicting volatility of a ipath bloomberg natural gas subindex total return etn is to use Etf market data together with company specific technical indicators. We found twenty-one different technical indicators which can help you to evaluate if expected returns of 123.8858% are justified by taking the suggested risk. Use Etf Coefficient Of Variation of 257.64 and Mean Deviation of 294046.56 to evaluate company specific risk that cannot be diversified away. The organization shows Beta (market volatility) of -298645.5326 which denotes to the fact that as returns on market increase, returns on owning Etf are expected to decrease by larger amounts. On the other hand, during market turmoil, Etf is expected to significantly outperform it.. Although it is essential to pay attention to Etf historical returns, it is also good to be reasonable about what you can actually do with equity current trending patterns. Macroaxis philosophy towards predicting future performance of any ipath bloomberg natural gas subindex total return etn is to look not only at its past charts but also at the business as a whole, including all available fundamental and technical indicators. To evaluate if Etf expected return of 123.8858 will be sustainable into the future, we have found twenty-one different technical indicators which can help you to check if the expected returns are sustainable.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 

Below average predictability

Etf has below average predictability. Overlapping area represents the amount of predictability between Etf time series from August 20, 2018 to September 4, 2018 and September 4, 2018 to September 19, 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 Etf price movement. The serial correlation of 0.39 indicates that just about 39.0% of current Etf price fluctuation can be explain by its past prices.
Correlation Coefficient0.39
Spearman Rank Test0.04
Residual Average0.0
Price Variance1237338.13

Etf lagged returns against current returns

 Current and Lagged Values 
      Timeline 

Etf regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

Etf Lagged Returns

 Regressed Prices 
      Timeline 

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Please also check Etf Hype Analysis, Etf Correlation, Portfolio Optimization, Etf Volatility as well as analyze Etf Alpha and Beta and Etf Performance. Please also try Focused Opportunities module to build portfolios using our predefined set of ideas and optimize them against your investing preferences.
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