DB Crude Oil Backtested Returns
Macroaxis considers DB Crude to be not too volatile. DB Crude Oil
retains Efficiency (Sharpe Ratio) of -0.1472 which denotes DB Crude Oil
had -0.1472% of return per unit of price deviation over the last 1 month. Macroaxis way in which we are predicting risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. DB Crude exposes twenty-six different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to confirm DB Crude Oil Short ETN Standard Deviation
of 4.74 and Market Risk Adjusted Performance
of (8.18) to check risk estimate we provide. The entity owns Beta (Systematic Risk) of 0.0825 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.. Even though it is essential to pay attention to DB Crude Oil existing price patterns, it is always good to be careful when utilizing equity price patterns. Macroaxis way in which we are predicting future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. DB Crude exposes twenty-six different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.4) |
Poor reverse predictability
DB Crude Oil Short ETN has poor reverse predictability. Overlapping area represents the amount of predictability between DB Crude time series from November 12, 2017 to November 27, 2017 and November 27, 2017 to December 12, 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 -0.4 indicates that just about 40.0% of current DB Crude price fluctuation can be explain by its past prices. Given that DB Crude Oil Short 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|| -0.4|
|Spearman Rank Test|| -0.04|
|Price Variance|| 6.98|
|Lagged Price Variance|| 48.16|
DB Crude Lagged Returns