DB Crude Backtesting

SZO -- USA Etf  

USD 60.01  0.00  0.00%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of DB Crude Oil Short ETN and determine expected loss or profit from investing in DB Crude over given investment horizon. Also please 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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

DB Crude 'What if' Analysis

August 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in DB Crude on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding DB Crude Oil Short ETN or generate 0.0% return on investment in DB Crude over 30 days. DB Crude is related to or competes with ProShares UltraShort, ProShares UltraShort, ProShares UltraShort, ProShares UltraPro, DB Crude, DB Gold, and UBS ETRACS. The investment seeks to track the price and yield performance, before fees and expenses, of the Deutsche Bank Liquid Com...

DB Crude Upside/Downside Indicators

Information Ratio0.123
Maximum Drawdown15.57
Value At Risk2.84
Potential Upside6.69
  

DB Crude Market Premium Indicators

Risk Adjusted Performance0.0904
Jensen Alpha0.5249
Total Risk Alpha0.58
Treynor Ratio4.46

DB Crude Oil Backtested Returns

Macroaxis considers DB Crude to be not too risky. DB Crude Oil retains Efficiency (Sharpe Ratio) of -0.2582 which denotes DB Crude Oil had -0.2582% 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-one 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 3.08 and Market Risk Adjusted Performance of 4.47 to check risk estimate we provide. The entity owns Beta (Systematic Risk) of 0.1223 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-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.29 

Poor predictability

DB Crude Oil Short ETN has poor predictability. Overlapping area represents the amount of predictability between DB Crude time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 0.29 indicates that nearly 29.0% of current DB Crude price fluctuation can be explain by its past prices.
Correlation Coefficient0.29
Spearman Rank Test-0.31
Residual Average0.0
Price Variance0.61

DB Crude Oil lagged returns against current returns

 Current and Lagged Values 
      Timeline 

DB Crude regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

DB Crude Lagged Returns

 Regressed Prices 
      Timeline 

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Volatility Analysis

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Also please 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. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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