UBS ETRACS Backtesting


USD 33.01  0.65  1.93%

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

UBS ETRACS 'What if' Analysis

November 11, 2017
No Change 0.00  0.0%
In 31 days
December 11, 2017
If you would invest  0.00  in UBS ETRACS on November 11, 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 ETFS Commodity, ProShares UltraShort, ProShares Trust, ETFS Commodity, ETFS Commodity, and ETFS Commodity. 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 

UBS ETRACS regressed lagged prices vs. current prices

 Current vs Lagged Prices 

UBS ETRACS SP Backtested Returns

Macroaxis considers UBS ETRACS not too volatile given 1 month investment horizon. UBS ETRACS SP owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1471 which indicates UBS ETRACS SP had 0.1471% 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-six technical indicators for UBS ETRACS SP GSCI Crd OilTtl Rt ETN which you can use to evaluate future volatility of the entity. Please operate UBS ETRACS Risk Adjusted Performance of 0.1494 and Market Risk Adjusted Performance of 4.03 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.1431 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.. 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 0.221% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
Spearman Rank Test 0.6
Lagged Price Variance 0.54
Average Price 33.66
Lagged Average Price 32.73

UBS ETRACS Lagged Returns

 Regressed Prices 

UBS ETRACS Performance vs DOW

The median price of UBS ETRACS for the period between Sat, Nov 11, 2017 and Mon, Dec 11, 2017 is 32.08 with a coefficient of variation of 5.34. The daily time series for the period is distributed with a sample standard deviation of 1.69, arithmetic mean of 31.68, and mean deviation of 1.56. The Etf received some media coverage during the period.
Price Growth (%)  
UBS ETRACS SandP GSCI Crd OilTtl Rt ETN Declines 2.25 percen...11/14/2017