United States Diesel Backtested Returns
Macroaxis considers United States to be not too volatile. United States Diesel
owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.2317 which indicates United States Diesel
had -0.2317% of return per unit of risk over the last 1 month. Macroaxis philosophy towards measuring 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
. United States Diesel Heating Oil exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to validate United States Coefficient Of Variation
of 438.34 and Risk Adjusted Performance of 0.39 to confirm risk estimate we provide. The entity has beta of 0.335 which indicates as returns on market increase, United States returns are expected to increase less than the market. However during bear market, the loss on holding United States will be expected to be smaller as well.. Even though it is essential to pay attention to United States Diesel current price movements, it is always good to be careful when utilizing equity historical returns. Macroaxis philosophy towards measuring 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. United States Diesel Heating Oil exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.25) |
Weak reverse predictability
United States Diesel Heating Oil has weak reverse predictability. Overlapping area represents the amount of predictability between United States time series from January 20, 2018 to February 4, 2018 and February 4, 2018 to February 19, 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 Diesel price movement. The serial correlation of -0.25 indicates that over 25.0% of current United States price fluctuation can be explain by its past prices. Given that United States Diesel Heating Oil 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|| -0.25|
|Spearman Rank Test|| 0.57|
|Price Variance|| 0.29|
|Lagged Price Variance|| 0.09|
United States Lagged Returns