ELEMENTS Rogers Backtesting

RJN -- USA Etf  

USD 3.12  0.0024  0.08%

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
SymbolX
Backtest

ELEMENTS Rogers 'What if' Analysis

June 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 21, 2018
0.00
If you would invest  0.00  in ELEMENTS Rogers on June 21, 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, United States, PowerShares DB, VelocityShares 3x, PowerShares DB, 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

Downside Deviation2.62
Information Ratio0.018527
Maximum Drawdown8.4
Value At Risk4.06
Potential Upside3.68
  

ELEMENTS Rogers Market Premium Indicators

Risk Adjusted Performance0.0356
Jensen Alpha0.1012
Total Risk Alpha0.33
Sortino Ratio0.014124
Treynor Ratio0.70

ELEMENTS Rogers Intl Backtested Returns

We consider ELEMENTS Rogers unusually risky. ELEMENTS Rogers Intl secures Sharpe Ratio (or Efficiency) of 0.0588 which denotes ELEMENTS Rogers Intl had 0.0588% 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 2.62 and Mean Deviation of 1.31 to check if risk estimate we provide are consistent with the epected return of 0.1197%. The organization shows Beta (market volatility) of -0.1235 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 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 0.1197% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.69) 

Very good reverse predictability

ELEMENTS Rogers Intl Cmdty Energy TR ETN has very good reverse predictability. Overlapping area represents the amount of predictability between ELEMENTS Rogers time series from June 21, 2018 to July 6, 2018 and July 6, 2018 to July 21, 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 -0.69 indicates that around 69.0% 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 -0.69
Spearman Rank Test -0.72
Price Variance 0.01
Lagged Price Variance 0.01

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 Lagged Returns

 Regressed Prices 
      Timeline 

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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. Please also try Price Ceiling Movement module to calculate and plot price ceiling movement for different equity instruments.
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