United States Backtesting

United States Natural Gas -- USA Etf  

USD 6.36  0.01  0.16%

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
Investment Horizon     30 Days    Login   to change
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Backtest

United States 'What if' Analysis

September 22, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 22, 2017
 0.00 
If you would invest  0.00  in United States on September 22, 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 
      Timeline 

United States Natural Backtested Returns

Macroaxis considers United States to be moderately volatile. United States Natural owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.0985 which indicates United States Natural had -0.0985% 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 Natural Gas 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 (935.43) and Risk Adjusted Performance of (0.021067) to confirm risk estimate we provide. The entity has beta of -1.5822 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.. Even though it is essential to pay attention to United States Natural 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 Natural Gas exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.23 

Weak predictability

United States Natural Gas has weak predictability. Overlapping area represents the amount of predictability between United States time series from September 22, 2017 to October 7, 2017 and October 7, 2017 to October 22, 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 Natural price movement. The serial correlation of 0.23 indicates that over 23.0% of current United States price fluctuation can be explain by its past prices.
Correlation Coefficient 0.23
Spearman Rank Test -0.61
Price Variance 0.01
Lagged Price Variance 0.01

United States Lagged Returns

 Regressed Prices 
      Timeline 

United States Performance vs DOW

The median price of United States for the period between Fri, Sep 22, 2017 and Sun, Oct 22, 2017 is 6.39 with a coefficient of variation of 2.01. The daily time series for the period is distributed with a sample standard deviation of 0.13, arithmetic mean of 6.42, and mean deviation of 0.11. The Etf received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
JPMorgan Chase and Co. Raises Position in United States Natu...10/20/2017