UBS ETRACS SP Backtested Returns
Macroaxis considers UBS ETRACS to be not too risky. UBS ETRACS SP
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.1973 which indicates UBS ETRACS SP
had -0.1973% of return per unit of standard deviation over the last 1 month. Macroaxis approach into measuring risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. UBS ETRACS SP GSCI Crd OilTtl Rt ETN exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate UBS ETRACS Risk Adjusted Performance
of 0.31 and Market Risk Adjusted Performance of 3.15 to confirm risk estimate we provide. The entity has beta of 0.0634 which indicates as returns on market increase, UBS ETRACS returns are expected to increase less than the market. However during bear market, the loss on holding UBS ETRACS will be expected to be smaller as well.. Even though it is essential to pay attention to UBS ETRACS SP current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis approach into measuring future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. UBS ETRACS SP GSCI Crd OilTtl Rt ETN exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.37) |
Poor reverse predictability
UBS ETRACS SP GSCI Crd OilTtl Rt ETN has poor reverse predictability. Overlapping area represents the amount of predictability between UBS ETRACS 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 UBS ETRACS SP price movement. The serial correlation of -0.37 indicates that just about 37.0% 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|| -0.37|
|Spearman Rank Test|| -0.54|
|Price Variance|| 0.35|
|Lagged Price Variance|| 0.23|
UBS ETRACS Lagged Returns