United States Backtesting

United States Natural Gas -- USA Etf  

USD 25.6  0.74  2.98%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United States Natural Gas 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
 Time Horizon     30 Days    Login   to change
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Backtest

United States 'What if' Analysis

December 21, 2017
0.00
No Change 0.00  0.0%
In 31 days
January 20, 2018
0.00
If you would invest  0.00  in United States on December 21, 2017 and sell it all today you would earn a total of 0.00 from holding United States Natural Gas 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 to reflect the daily changes in percentage terms of the price of natural gas delivered at the Henry...

United States Upside/Downside Indicators

  

United States Market Premium Indicators

United States Natural lagged returns against current returns

 Current and Lagged Values 
      Timeline 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 
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United States Natural Backtested Returns

United States is abnormally risky given 1 month investment horizon. United States Natural owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2482 which indicates United States Natural had 0.2482% of return per unit of risk over the last 1 month. Our philosophy towards measuring volatility of a etf is to use United States Natural market data together with company specific technical indicators. We found twenty different technical indicators which can help you to evaluate if expected returns of 16.4231% are justified by taking the suggested risk. Use United States Natural Downside Deviation of 2.18, Standard Deviation of 61.6 and Risk Adjusted Performance of 0.1114 to evaluate company specific risk that cannot be diversified away. The entity has beta of 23.165 which indicates as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, United States will likely underperform.. Although it is essential to pay attention to United States Natural current price movements, it is also good to be reasonable about what you can actually do with equity historical returns. Macroaxis philosophy towards measuring future performance of any etf is to look not only at its past charts but also at the business as a whole, including all available fundamental and technical indicators. To evaluate if United States Natural Gas expected return of 16.4231 will be sustainable into the future, we have found twenty different technical indicators which can help you to check if the expected returns are sustainable.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.27 

Poor predictability

United States Natural Gas has poor predictability. Overlapping area represents the amount of predictability between United States time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 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 Natural price movement. The serial correlation of 0.27 indicates that nearly 27.0% of current United States price fluctuation can be explain by its past prices.
Correlation Coefficient 0.27
Spearman Rank Test 0.71
Price Variance 1.49
Lagged Price Variance 24.6

United States Lagged Returns

 Regressed Prices 
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United States Performance vs DOW

The median price of United States for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 6.01 with a coefficient of variation of 68.06. The daily time series for the period is distributed with a sample standard deviation of 9.49, arithmetic mean of 13.95, and mean deviation of 9.2. The Etf received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
Polianta Ltd Cuts Position in United States Natural Gas Fund...01/16/2018