UBS ETRACS Backtesting

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

USD 35.21  0.00  0.00%

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
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

UBS ETRACS 'What if' Analysis

January 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
February 21, 2018
0.00
If you would invest  0.00  in UBS ETRACS on January 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 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

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 
      Timeline 

UBS ETRACS Performance vs DOW

The median price of UBS ETRACS for the period between Mon, Jan 22, 2018 and Wed, Feb 21, 2018 is 36.76 with a coefficient of variation of 1.67. The daily time series for the period is distributed with a sample standard deviation of 0.62, arithmetic mean of 36.87, and mean deviation of 0.42. The Etf received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
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