UBS ETRACS Backtesting

OILX -- USA Etf  

USD 41.65  0.12  0.29%

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.
Horizon     30 Days    Login   to change

UBS ETRACS 'What if' Analysis

August 22, 2018
No Change 0.00  0.0%
In 30 days
September 21, 2018
If you would invest  0.00  in UBS ETRACS on August 22, 2018 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 Vanguard Total, SPDR SP, iShares Core, Vanguard FTSE, Vanguard Value, Vanguard Real, and iShares Core. The investment seeks to provide exposure to potential price appreciation in the SP GSCI Crude Oil Total Return Index

UBS ETRACS Upside/Downside Indicators

Information Ratio0.1819
Maximum Drawdown6.27
Value At Risk0.29
Potential Upside1.57

UBS ETRACS Market Premium Indicators

Risk Adjusted Performance0.1103
Jensen Alpha0.3483
Total Risk Alpha0.0257
Treynor Ratio1.29

UBS ETRACS SP Backtested Returns

We consider UBS ETRACS not too volatile. UBS ETRACS SP owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0134 which indicates UBS ETRACS SP had 0.0134% of return per unit of standard deviation over the last 1 month. Our approach into measuring volatility of an etf is to use all available market data together with etf 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 0.1103 and Market Risk Adjusted Performance of 1.28 to confirm if risk estimate we provide are consistent with the epected return of 0.0331%. The entity has beta of -0.2528 which indicates as returns on market increase, returns on owning UBS ETRACS are expected to decrease at a much smaller rate. During bear market, UBS ETRACS is likely to outperform the market.. 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 0.0331% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 

No correlation between past and present

UBS ETRACS SP GSCI Crd OilTtl Rt ETN has no correlation between past and present. Overlapping area represents the amount of predictability between UBS ETRACS time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 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 0.0 indicates that just 0.0% of current UBS ETRACS price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.0

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 Lagged Returns

 Regressed Prices 

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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. Please also try Financial Widgets module to easily integrated macroaxis content with over 30 different plug-and-play financial widgets.