United States Backtesting

United States Gasoline -- USA Etf  

USD 28.99  0.3  1.02%

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

United States 'What if' Analysis

September 19, 2017
No Change 0.00  0.0%
In 31 days
October 19, 2017
If you would invest  0.00  in United States on September 19, 2017 and sell it all today you would earn a total of 0.00 from holding United States Gasoline or generate 0.0% return on investment in United States over 30 days. United States is related to or competes with Realty Income, Diamond Hill, AllianceBernstein, Associated Capital, Arlington Asset, and Blackstone Group. The investment seeks the daily changes in percentage terms of the spot price of gasoline, for delivery to the New York h...

United States Upside/Downside Indicators


United States Market Premium Indicators

United States Gasoline lagged returns against current returns

 Current and Lagged Values 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United States Gasoline Backtested Returns

We consider United States not too volatile. United States Gasoline owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0659 which indicates United States Gasoline had 0.0659% of return per unit of risk over the last 1 month. Our philosophy towards 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-eight technical indicators for United States Gasoline which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.85, Coefficient Of Variation of 1518.19 and Risk Adjusted Performance of 0.0238 to confirm if risk estimate we provide are consistent with the epected return of 0.1151%. The entity has beta of -1.6465 which indicates as returns on market increase, returns on owning United States are expected to decrease by larger amounts. On the other hand, during market turmoil, United States is expected to significantly outperform it.. Although it is extremely important to respect United States Gasoline current price movements, it is better to be realistic regarding the information on equity historical returns. The philosophy towards 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 inspecting United States Gasoline technical indicators you can presently evaluate if the expected return of 0.1151% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.54) 

Good reverse predictability

United States Gasoline has good reverse predictability. Overlapping area represents the amount of predictability between United States time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 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 United States Gasoline price movement. The serial correlation of -0.54 indicates that about 54.0% of current United States price fluctuation can be explain by its past prices. Given that United States Gasoline has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of United States for similar time interval.
Correlation Coefficient -0.54
Spearman Rank Test -0.55
Price Variance 0.26
Lagged Price Variance 0.35

United States Lagged Returns

 Regressed Prices 

United States Performance vs DOW

The median price of United States for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 28.72 with a coefficient of variation of 2.01. The daily time series for the period is distributed with a sample standard deviation of 0.58, arithmetic mean of 28.57, and mean deviation of 0.46. The Etf received some media coverage during the period.
Price Growth (%)  
Gasoline Prices Edge Lower As Hurricane Effects Subside10/11/2017