ELEMENTS Rogers Backtesting

ELEMENTS Rogers Intl Cmdty Energy TR ETN -- USA Etf  

USD 2.49  0.02  0.81%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ELEMENTS Rogers Intl Cmdty Energy TR ETN and determine expected loss or profit from investing in ELEMENTS Rogers over given investment horizon. Additionally take a look at ELEMENTS Rogers Hype Analysis, ELEMENTS Rogers Correlation, Portfolio Optimization, ELEMENTS Rogers Volatility as well as analyze ELEMENTS Rogers Alpha and Beta and ELEMENTS Rogers Performance
Investment Horizon     30 Days    Login   to change
SymbolX
Backtest

ELEMENTS Rogers 'What if' Analysis

September 16, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 16, 2017
 0.00 
If you would invest  0.00  in ELEMENTS Rogers on September 16, 2017 and sell it all today you would earn a total of 0.00 from holding ELEMENTS Rogers Intl Cmdty Energy TR ETN or generate 0.0% return on investment in ELEMENTS Rogers over 30 days. ELEMENTS Rogers is related to or competes with Vanguard Australian, SPDR NYSE, Franklin LibertyQ, Russell Investments, Sector 5, and SPDR MSCI. The investment seeks to replicate, net of expenses, the Rogers International Commodity Index Energy Total Return index

ELEMENTS Rogers Upside/Downside Indicators

  

ELEMENTS Rogers Market Premium Indicators

ELEMENTS Rogers Intl lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ELEMENTS Rogers regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ELEMENTS Rogers Intl Backtested Returns

We consider ELEMENTS Rogers unusually risky. ELEMENTS Rogers Intl secures Sharpe Ratio (or Efficiency) of 0.0879 which denotes ELEMENTS Rogers Intl had 0.0879% of return per unit of return volatility over the last 1 month. Our approach into 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-six technical indicators for ELEMENTS Rogers Intl Cmdty Energy TR ETN which you can use to evaluate future volatility of the entity. Please confirm ELEMENTS Rogers Intl Downside Deviation of 1.35 and Mean Deviation of 0.7119 to check if risk estimate we provide are consistent with the epected return of 0.1032%. The organization shows Beta (market volatility) of -0.5135 which denotes to the fact that as returns on market increase, returns on owning ELEMENTS Rogers are expected to decrease at a much smaller rate. During bear market, ELEMENTS Rogers is likely to outperform the market.. Although it is extremely important to respect ELEMENTS Rogers Intl historical returns, it is better to be realistic regarding the information on equity current trending patternss. The approach into 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 analyzing ELEMENTS Rogers Intl technical indicators you can right now evaluate if the expected return of 0.1032% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.2) 

Insignificant reverse predictability

ELEMENTS Rogers Intl Cmdty Energy TR ETN has insignificant reverse predictability. Overlapping area represents the amount of predictability between ELEMENTS Rogers time series from September 16, 2017 to October 1, 2017 and October 1, 2017 to October 16, 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 ELEMENTS Rogers Intl price movement. The serial correlation of -0.2 indicates that over 20.0% of current ELEMENTS Rogers price fluctuation can be explain by its past prices. Given that ELEMENTS Rogers Intl Cmdty Energy TR ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ELEMENTS Rogers for similar time interval.
Correlation Coefficient -0.2
Spearman Rank Test 0.45
Average Price 2.44
Lagged Average Price 2.47

ELEMENTS Rogers Lagged Returns

 Regressed Prices 
      Timeline 

ELEMENTS Rogers Performance vs DOW

The median price of ELEMENTS Rogers for the period between Sat, Sep 16, 2017 and Mon, Oct 16, 2017 is 2.4445 with a coefficient of variation of 1.27. The daily time series for the period is distributed with a sample standard deviation of 0.03, arithmetic mean of 2.45, and mean deviation of 0.02. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline