UBS ETRACS Backtesting

UBS ETRACS SP GSCI Crd OilTtl Rt ETN -- USA Etf  

USD 29.72  0.02  0.0672%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of UBS ETRACS SP GSCI Crd OilTtl Rt ETN and determine expected loss or profit from investing in UBS ETRACS over given investment horizon. Additionally take a look at UBS ETRACS Hype Analysis, UBS ETRACS Correlation, Portfolio Optimization, UBS ETRACS Volatility as well as analyze UBS ETRACS Alpha and Beta and UBS ETRACS Performance
Investment Horizon     30 Days    Login   to change
SymbolX
Backtest

UBS ETRACS 'What if' Analysis

September 20, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 20, 2017
 0.00 
If you would invest  0.00  in UBS ETRACS on September 20, 2017 and sell it all today you would earn a total of 0.00 from holding UBS ETRACS SP GSCI Crd OilTtl Rt ETN or generate 0.0% return on investment in UBS ETRACS over 30 days. UBS ETRACS is related to or competes with United States, iPath SP, United States, PowerShares DB, PowerShares DB, and United States. The investment seeks to provide exposure to potential price appreciation in the SP GSCI Crude Oil Total Return Index

UBS ETRACS Upside/Downside Indicators

  

UBS ETRACS Market Premium Indicators

UBS ETRACS SP lagged returns against current returns

 Current and Lagged Values 
      Timeline 

UBS ETRACS regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

UBS ETRACS SP Backtested Returns

We consider UBS ETRACS not too volatile. UBS ETRACS SP owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0617 which indicates UBS ETRACS SP had 0.0617% of return per unit of standard deviation over the last 1 month. Our approach into measuring 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 UBS ETRACS SP GSCI Crd OilTtl Rt ETN which you can use to evaluate future volatility of the entity. Please validate UBS ETRACS Risk Adjusted Performance of 0.0249 and Market Risk Adjusted Performance of (0.049792) to confirm if risk estimate we provide are consistent with the epected return of 0.1105%. The entity has beta of -1.8538 which indicates as returns on market increase, returns on owning UBS ETRACS are expected to decrease by larger amounts. On the other hand, during market turmoil, UBS ETRACS is expected to significantly outperform it.. Although it is extremely important to respect UBS ETRACS SP current price movements, it is better to be realistic regarding the information on equity historical returns. The approach into measuring 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 UBS ETRACS SP technical indicators you can now evaluate if the expected return of 0.1105% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.14) 

Insignificant reverse predictability

UBS ETRACS SP GSCI Crd OilTtl Rt ETN has insignificant reverse predictability. Overlapping area represents the amount of predictability between UBS ETRACS time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 UBS ETRACS SP price movement. The serial correlation of -0.14 indicates that less than 14.0% of current UBS ETRACS price fluctuation can be explain by its past prices. Given that UBS ETRACS SP GSCI Crd OilTtl Rt ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of UBS ETRACS for similar time interval.
Correlation Coefficient -0.14
Spearman Rank Test -0.03
Price Variance 0.18
Lagged Price Variance 0.18

UBS ETRACS Lagged Returns

 Regressed Prices 
      Timeline 

UBS ETRACS Performance vs DOW

The median price of UBS ETRACS for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 29.35 with a coefficient of variation of 1.44. The daily time series for the period is distributed with a sample standard deviation of 0.42, arithmetic mean of 29.32, and mean deviation of 0.3. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline