DB Crude Backtesting

DB Crude Oil Long ETN -- USA Etf  

USD 5.59  0.12  2.10%

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

February 22, 2018
No Change 0.00  0.0%
In 30 days
March 24, 2018
If you would invest  0.00  in DB Crude on February 22, 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, iPath SP, PowerShares DB, United States, ProShares UltraShort, and VelocityShares 3x. DB Crude Oil Long ETN is USA based ETF administrated by null

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

Macroaxis considers DB Crude not very volatile given 1 month investment horizon. DB Crude Oil retains Efficiency (Sharpe Ratio) of 0.2345 which denotes DB Crude Oil had 0.2345% 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 utilize DB Crude Oil Long ETN Standard Deviation of 1.11, Market Risk Adjusted Performance of 9.95 and Downside Deviation of 1.48 to check if our risk estimates are consistent with your expectations. The entity owns Beta (Systematic Risk) of 0.0251 which denotes to the fact that as returns on market increase, DB Crude returns are expected to increase less than the market. However during bear market, the loss on holding DB Crude will be expected to be smaller as well.. Although it is vital to follow to DB Crude Oil existing price patterns, it is good to be conservative about what you can actually do with the information regarding 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 0.2596% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.68) 

Very good reverse predictability

DB Crude Oil Long ETN has very good reverse predictability. Overlapping area represents the amount of predictability between DB Crude time series from February 22, 2018 to March 9, 2018 and March 9, 2018 to March 24, 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 -0.68 indicates that around 68.0% 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 -0.68
Spearman Rank Test -0.75
Price Variance 0.01
Average Price 5.49

DB Crude Lagged Returns

 Regressed Prices 

DB Crude Performance vs DOW

The median price of DB Crude for the period between Thu, Feb 22, 2018 and Sat, Mar 24, 2018 is 5.4104 with a coefficient of variation of 1.95. The daily time series for the period is distributed with a sample standard deviation of 0.11, arithmetic mean of 5.44, and mean deviation of 0.08. The Etf did not receive any noticable media coverage during the period.
 Price Growth (%)