DB Crude Backtesting

OLO -- USA Etf  

USD 6.06  0.03  0.50%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of DB Crude Oil Long ETN and determine expected loss or profit from investing in DB Crude over given investment horizon. Additionally take a look at DB Crude Hype Analysis, DB Crude Correlation, Portfolio Optimization, DB Crude Volatility as well as analyze DB Crude Alpha and Beta and DB Crude Performance.
 Time Horizon     30 Days    Login   to change

DB Crude 'What if' Analysis

June 20, 2018
No Change 0.00  0.0%
In 31 days
July 20, 2018
If you would invest  0.00  in DB Crude on June 20, 2018 and sell it all today you would earn a total of 0.00 from holding DB Crude Oil Long ETN or generate 0.0% return on investment in DB Crude over 30 days. DB Crude is related to or competes with United States. The investment seeks to track the price and yield performance, before fees and expenses, of the Deutsche Bank Liquid Com...

DB Crude Upside/Downside Indicators

Information Ratio0.019678
Maximum Drawdown7.92
Value At Risk3.24
Potential Upside2.0

DB Crude Market Premium Indicators

Risk Adjusted Performance0.0398
Jensen Alpha0.0888
Total Risk Alpha0.28
Treynor Ratio25.24

DB Crude Oil Backtested Returns

We consider DB Crude relatively volatile. DB Crude Oil retains Efficiency (Sharpe Ratio) of 0.0558 which denotes DB Crude Oil had 0.0558% of return per unit of price deviation over the last 1 month. Our way in which we are predicting 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 DB Crude which you can use to evaluate future volatility of the entity. Please confirm DB Crude Oil Long ETN Standard Deviation of 1.76 and Market Risk Adjusted Performance of 25.23 to check if risk estimate we provide are consistent with the epected return of 0.0983%. The entity owns Beta (Systematic Risk) of -0.0035 which denotes to the fact that as returns on market increase, returns on owning DB Crude are expected to decrease at a much smaller rate. During bear market, DB Crude is likely to outperform the market.. Although it is extremely important to respect DB Crude Oil existing price patterns, it is better to be realistic regarding the information on equity price patterns. The way in which we are predicting 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 DB Crude Oil technical indicators you can at this moment evaluate if the expected return of 0.0983% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.54) 

Good reverse predictability

DB Crude Oil Long ETN has good reverse predictability. Overlapping area represents the amount of predictability between DB Crude time series from June 20, 2018 to July 5, 2018 and July 5, 2018 to July 20, 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 DB Crude Oil price movement. The serial correlation of -0.54 indicates that about 54.0% of current DB Crude price fluctuation can be explain by its past prices. Given that DB Crude Oil Long ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of DB Crude for similar time interval.
Correlation Coefficient -0.54
Spearman Rank Test -0.71
Price Variance 0.02
Lagged Price Variance 0.02

DB Crude Oil lagged returns against current returns

 Current and Lagged Values 

DB Crude regressed lagged prices vs. current prices

 Current vs Lagged Prices 

DB Crude Lagged Returns

 Regressed Prices 

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Additionally take a look at DB Crude Hype Analysis, DB Crude Correlation, Portfolio Optimization, DB Crude Volatility as well as analyze DB Crude Alpha and Beta and DB Crude Performance. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.