United States Backtesting

UGA -- USA Etf  

USD 34.73  0.28  0.81%

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.
Horizon     30 Days    Login   to change
SymbolX
Backtest

United States 'What if' Analysis

August 22, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 21, 2018
0.00
If you would invest  0.00  in United States on August 22, 2018 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 PowerShares, iPath B, ELEMENTS Rogers, Coca Cola, HP, ATT, and Caterpillar. 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

Downside Deviation1.15
Information Ratio0.0669
Maximum Drawdown5.2
Value At Risk1.82
Potential Upside2.8
  

United States Market Premium Indicators

Risk Adjusted Performance0.0965
Jensen Alpha0.0871
Total Risk Alpha0.24
Sortino Ratio0.0782
Treynor Ratio0.2517

United States Gasoline Backtested Returns

We consider United States not too risky. United States Gasoline owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1162 which indicates United States Gasoline had 0.1162% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for United States Gasoline which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 0.8409, Coefficient Of Variation of 505.47 and Risk Adjusted Performance of 0.0965 to confirm if risk estimate we provide are consistent with the epected return of 0.1437%. The entity has beta of 1.0173 which indicates United States returns are very sensitive to returns on the market. as market goes up or down, United States is expected to follow.. 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 0.1437% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.03) 

Very weak reverse predictability

United States Gasoline has very weak reverse predictability. Overlapping area represents the amount of predictability between United States time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 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 United States Gasoline price movement. The serial correlation of -0.03 indicates that only 3.0% 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-0.03
Spearman Rank Test0.0
Residual Average0.0
Price Variance0.24

United States Gasoline lagged returns against current returns

 Current and Lagged Values 
      Timeline 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

United States Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - UGA

United States Gasoline Investor Sentiment

Greater number of Macroaxis users are at this time bullish on United States Gasoline. What is your outlook on investing in United States Gasoline? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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. Please also try Volatility Analysis module to get historical volatility and risk analysis based on latest market data.
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