United States Backtesting

United States Natural Gas -- USA Etf  

USD 22.61  0.01  0.0442%

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
SymbolX
Backtest

United States 'What if' Analysis

February 18, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 19, 2018
0.00
If you would invest  0.00  in United States on February 18, 2018 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 60 days. United States is related to or competes with Realty Income, Diamond Hill, AllianceBernstein, Associated Capital, Arlington Asset, Blackstone Group, and . United States Natural Gas is USA based ETF administrated by Brown Brothers Harriman Co.

United States Upside/Downside Indicators

Downside Deviation1.19
Information Ratio0.0826
Maximum Drawdown4.52
Value At Risk1.81
Potential Upside1.86
  

United States Market Premium Indicators

Risk Adjusted Performance0.1006
Jensen Alpha0.0605
Total Risk Alpha0.0801
Sortino Ratio0.0764
Treynor Ratio1.45

United States Natural Backtested Returns

We consider United States not too volatile. United States Natural owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0481 which indicates United States Natural had 0.0481% of return per unit of risk over the last 2 months. 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-one technical indicators for United States Natural Gas which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.04, Coefficient Of Variation of 1596.95 and Risk Adjusted Performance of 0.1006 to confirm if risk estimate we provide are consistent with the epected return of 0.0513%. The entity has beta of 0.0407 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.. Although it is extremely important to respect United States Natural 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 Natural technical indicators you can presently evaluate if the expected return of 0.0513% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.22) 

Weak reverse predictability

United States Natural Gas has weak reverse predictability. Overlapping area represents the amount of predictability between United States time series from February 18, 2018 to March 20, 2018 and March 20, 2018 to April 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 Natural price movement. The serial correlation of -0.22 indicates that over 22.0% of current United States price fluctuation can be explain by its past prices. Given that United States Natural Gas 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 -0.22
Spearman Rank Test 0.07
Price Variance 0.07
Lagged Price Variance 0.13

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 
      Timeline 

United States Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - UNG

United States Natural Investor Sentiment
Predominant part of Macroaxis users are at this time bullish on United States Natural Gas. What is your outlook on investing in United States Natural Gas? 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 Balance Of Power module to check stock momentum by analyzing balance of power indicator and other technical ratios.