UBS ETRACS Backtesting

UBS ETRACS CMCI Energy Total Return ETN -- USA Etf  

USD 7.1  0.13  1.87%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of UBS ETRACS CMCI Energy Total Return ETN and determine expected loss or profit from investing in UBS ETRACS over given investment horizon. Also please take a look at UBS ETRACS Hype Analysis, UBS ETRACS Correlation, Portfolio Optimization, UBS ETRACS Volatility as well as analyze UBS ETRACS Alpha and Beta and UBS ETRACS Performance
Investment Horizon     30 Days    Login   to change

UBS ETRACS 'What if' Analysis

September 20, 2017
No Change 0.00  0.0%
In 31 days
October 20, 2017
If you would invest  0.00  in UBS ETRACS on September 20, 2017 and sell it all today you would earn a total of 0.00 from holding UBS ETRACS CMCI Energy Total Return ETN or generate 0.0% return on investment in UBS ETRACS over 30 days. UBS ETRACS is related to or competes with United States, iPath SP, United States, PowerShares DB, PowerShares DB, and United States. The investment seeks to track the price and performance yield, before fees and expenses, of the UBS Bloomberg CMCI Energ...

UBS ETRACS Upside/Downside Indicators


UBS ETRACS Market Premium Indicators

UBS ETRACS CMCI lagged returns against current returns

 Current and Lagged Values 

UBS ETRACS regressed lagged prices vs. current prices

 Current vs Lagged Prices 

UBS ETRACS CMCI Backtested Returns

We consider UBS ETRACS unusually risky. UBS ETRACS CMCI owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0209 which indicates UBS ETRACS CMCI had 0.0209% of return per unit of standard deviation over the last 1 month. Our approach into measuring 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 UBS ETRACS CMCI Energy Total Return ETN which you can use to evaluate future volatility of the entity. Please validate UBS ETRACS Risk Adjusted Performance of 0.0313, Market Risk Adjusted Performance of 0.7653 and Downside Deviation of 4.4 to confirm if risk estimate we provide are consistent with the epected return of 0.0812%. The entity has beta of 0.4165 which indicates as returns on market increase, UBS ETRACS returns are expected to increase less than the market. However during bear market, the loss on holding UBS ETRACS will be expected to be smaller as well.. Although it is extremely important to respect UBS ETRACS CMCI current price movements, it is better to be realistic regarding the information on equity historical returns. The approach into measuring 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 examining UBS ETRACS CMCI technical indicators you can now evaluate if the expected return of 0.0812% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.91) 

Near perfect reversele predictability

UBS ETRACS CMCI Energy Total Return ETN has near perfect reversele predictability. Overlapping area represents the amount of predictability between UBS ETRACS time series from September 20, 2017 to October 5, 2017 and October 5, 2017 to October 20, 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 UBS ETRACS CMCI price movement. The serial correlation of -0.91 indicates that approximately 91.0% of current UBS ETRACS price fluctuation can be explain by its past prices. Given that UBS ETRACS CMCI Energy Total Return ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of UBS ETRACS for similar time interval.
Correlation Coefficient -0.91
Spearman Rank Test -0.9
Price Variance 0.08
Lagged Price Variance 0.06

UBS ETRACS Lagged Returns

 Regressed Prices 

UBS ETRACS Performance vs DOW

The median price of UBS ETRACS for the period between Wed, Sep 20, 2017 and Fri, Oct 20, 2017 is 6.6905 with a coefficient of variation of 3.17. The daily time series for the period is distributed with a sample standard deviation of 0.21, arithmetic mean of 6.77, and mean deviation of 0.18. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)