Crude Oil Backtesting

Crude Oil Strategy Proshares -- USA Etf  

USD 21.8  0.17  0.79%

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

Crude Oil 'What if' Analysis

November 15, 2017
No Change 0.00  0.0%
In 31 days
December 15, 2017
If you would invest  0.00  in Crude Oil on November 15, 2017 and sell it all today you would earn a total of 0.00 from holding Crude Oil Strategy Proshares or generate 0.0% return on investment in Crude Oil over 30 days. Crude Oil is related to or competes with United States, iPath SP, United States, PowerShares DB, PowerShares DB, and United States. The investment seeks to provide total return through actively managed exposure to the West Texas Intermediate crude oil ...

Crude Oil Upside/Downside Indicators


Crude Oil Market Premium Indicators

Crude Oil Strategy lagged returns against current returns

 Current and Lagged Values 

Crude Oil regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Crude Oil Strategy Backtested Returns

We consider Crude Oil not too volatile. Crude Oil Strategy secures Sharpe Ratio (or Efficiency) of 0.0807 which signifies that Crude Oil Strategy had 0.0807% of return per unit of risk over the last 1 month. Our philosophy towards foreseeing 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-eight technical indicators for Crude Oil Strategy Proshares which you can use to evaluate future volatility of the entity. Please confirm Crude Oil Strategy Risk Adjusted Performance of 8.0E-4 and Mean Deviation of 1.08 to double-check if risk estimate we provide are consistent with the epected return of 0.1035%. The organization shows Beta (market volatility) of 0.0667 which signifies that as returns on market increase, Crude Oil returns are expected to increase less than the market. However during bear market, the loss on holding Crude Oil will be expected to be smaller as well.. Although it is extremely important to respect Crude Oil Strategy historical returns, it is better to be realistic regarding the information on equity current trending patterns. The philosophy towards foreseeing 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 Crude Oil Strategy technical indicators you can presently evaluate if the expected return of 0.1035% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.36) 

Poor reverse predictability

Crude Oil Strategy Proshares has poor reverse predictability. Overlapping area represents the amount of predictability between Crude Oil time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 2017. The more autocorrelation exist between current time interval and its lagged values, the more accurately you can make projection about the future pattern of Crude Oil Strategy price movement. The serial correlation of -0.36 indicates that just about 36.0% of current Crude Oil price fluctuation can be explain by its past prices. Given that Crude Oil Strategy Proshares has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Crude Oil for similar time interval.
Correlation Coefficient -0.36
Spearman Rank Test -0.52
Price Variance 0.06
Lagged Price Variance 0.13

Crude Oil Lagged Returns

 Regressed Prices 

Crude Oil Performance vs DOW

The median price of Crude Oil for the period between Wed, Nov 15, 2017 and Fri, Dec 15, 2017 is 21.9 with a coefficient of variation of 1.53. The daily time series for the period is distributed with a sample standard deviation of 0.33, arithmetic mean of 21.78, and mean deviation of 0.27. The Etf received some media coverage during the period.
Price Growth (%)  
Dec 12 is a negative day so far for ProShares K-1 Free Crude...12/12/2017