United States Backtesting

USL -- USA Etf  

USD 26.10  0.09  0.35%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United States 12 Month Oil 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 23, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 22, 2018
0.00
If you would invest  0.00  in United States on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding United States 12 Month Oil 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, Alcoa, Coca Cola, HP, and ATT. The investment seeks to reflect the daily changes in percentage terms of the spot price of light, sweet crude oil delive...

United States Upside/Downside Indicators

Downside Deviation0.8665
Information Ratio0.032358
Maximum Drawdown4.1
Value At Risk1.41
Potential Upside2.36
  

United States Market Premium Indicators

Risk Adjusted Performance0.0623
Jensen Alpha0.1138
Total Risk Alpha0.28
Sortino Ratio0.0421
Treynor Ratio1.36

United States 12 Backtested Returns

Macroaxis considers United States not too volatile given 1 month investment horizon. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.2003 which indicates United States 12 had 0.2003% 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 12 Month Oil which you can use to evaluate future volatility of the etf. Please operate United States Semi Deviation of 0.6536, Coefficient Of Variation of 807.39 and Risk Adjusted Performance of 0.0623 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.0955 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 12 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 12 technical indicators you can presently evaluate if the expected return of 0.2232% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.20 

Weak predictability

United States 12 Month Oil has weak predictability. Overlapping area represents the amount of predictability between United States time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 12 price movement. The serial correlation of 0.2 indicates that over 20.0% of current United States price fluctuation can be explain by its past prices.
Correlation Coefficient0.2
Spearman Rank Test0.02
Residual Average0.0
Price Variance0.13

United States 12 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 

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Risk-Return Analysis

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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 Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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