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.
|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