ELEMENTS Rogers Backtesting

ELEMENTS Rogers Intl Cmdty Energy TR ETN -- USA Etf  

USD 2.92  0.02  0.68%

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
 Time Horizon     30 Days    Login   to change

ELEMENTS Rogers 'What if' Analysis

February 22, 2018
No Change 0.00  0.0%
In 31 days
March 24, 2018
If you would invest  0.00  in ELEMENTS Rogers on February 22, 2018 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 United States, iPath SP, PowerShares DB, United States, ProShares UltraShort, and VelocityShares 3x. 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 

ELEMENTS Rogers regressed lagged prices vs. current prices

 Current vs Lagged Prices 

ELEMENTS Rogers Intl Backtested Returns

We consider ELEMENTS Rogers risky. ELEMENTS Rogers Intl secures Sharpe Ratio (or Efficiency) of 0.1239 which denotes ELEMENTS Rogers Intl had 0.1239% 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-one 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 1.37 and Mean Deviation of 1.03 to check if risk estimate we provide are consistent with the epected return of 0.1658%. The organization shows Beta (market volatility) of 0.4324 which denotes to the fact that as returns on market increase, ELEMENTS Rogers returns are expected to increase less than the market. However during bear market, the loss on holding ELEMENTS Rogers will be expected to be smaller as well.. 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 patterns. 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 0.1658% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.60) 

Good reverse predictability

ELEMENTS Rogers Intl Cmdty Energy TR ETN has good reverse predictability. Overlapping area represents the amount of predictability between ELEMENTS Rogers 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 ELEMENTS Rogers Intl price movement. The serial correlation of -0.6 indicates that roughly 60.0% 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 -0.6
Spearman Rank Test -0.56
Average Price 2.86
Lagged Average Price 2.82

ELEMENTS Rogers Lagged Returns

 Regressed Prices 

ELEMENTS Rogers Performance vs DOW

The median price of ELEMENTS Rogers for the period between Thu, Feb 22, 2018 and Sat, Mar 24, 2018 is 2.82 with a coefficient of variation of 1.91. The daily time series for the period is distributed with a sample standard deviation of 0.05, arithmetic mean of 2.83, and mean deviation of 0.04. The Etf did not receive any noticable media coverage during the period.
 Price Growth (%)