DB Crude Backtesting

DB Crude Oil Long ETN -- USA Etf  

USD 4.8  0.045  0.95%

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
Investment Horizon     30 Days    Login   to change

DB Crude 'What if' Analysis

November 14, 2017
No Change 0.00  0.0%
In 31 days
December 14, 2017
If you would invest  0.00  in DB Crude on November 14, 2017 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, iPath SP, United States, PowerShares DB, PowerShares DB, and 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


DB Crude Market Premium Indicators

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 Oil Backtested Returns

We consider DB Crude relatively risky. DB Crude Oil retains Efficiency (Sharpe Ratio) of 0.0164 which denotes DB Crude Oil had 0.0164% 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 1.52, Market Risk Adjusted Performance of (0.004109) and Downside Deviation of 1.46 to check if risk estimate we provide are consistent with the epected return of 0.0255%. The entity owns Beta (Systematic Risk) of -0.3661 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 0.0255% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.14) 

Insignificant reverse predictability

DB Crude Oil Long ETN has insignificant reverse predictability. Overlapping area represents the amount of predictability between DB Crude time series from November 14, 2017 to November 29, 2017 and November 29, 2017 to December 14, 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 DB Crude Oil price movement. The serial correlation of -0.14 indicates that less than 14.0% 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 -0.14
Spearman Rank Test -0.5
Lagged Price Variance 0.01
Average Price 4.83

DB Crude Lagged Returns

 Regressed Prices 

DB Crude Performance vs DOW

The median price of DB Crude for the period between Tue, Nov 14, 2017 and Thu, Dec 14, 2017 is 4.81 with a coefficient of variation of 1.37. The daily time series for the period is distributed with a sample standard deviation of 0.07, arithmetic mean of 4.82, and mean deviation of 0.05. The Etf received some media coverage during the period.
Price Growth (%)  
DB Crude Oil Long ETN Rises 0.42 percent for Nov 2111/21/2017