United States Backtesting

United States 12 Month Oil -- USA Etf  

USD 21.60  0.43  2.03%

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
 Time Horizon     30 Days    Login   to change

United States 'What if' Analysis

January 23, 2018
No Change 0.00  0.0%
In 31 days
February 22, 2018
If you would invest  0.00  in United States on January 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 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 spot price of light, sweet crude oil delive...

United States Upside/Downside Indicators


United States Market Premium Indicators

United States 12 lagged returns against current returns

 Current and Lagged Values 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United States 12 Backtested Returns

Macroaxis considers United States to be not too volatile. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of -0.101 which indicates United States 12 had -0.101% 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 12 Month 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 990.26 and Risk Adjusted Performance of 0.18 to confirm risk estimate we provide. The entity has beta of 0.3913 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 12 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 12 Month Oil exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.72) 

Almost perfect reverse predictability

United States 12 Month Oil has almost perfect reverse predictability. Overlapping area represents the amount of predictability between United States time series from January 23, 2018 to February 7, 2018 and February 7, 2018 to February 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 -0.72 indicates that around 72.0% of current United States price fluctuation can be explain by its past prices. Given that United States 12 Month 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 -0.72
Spearman Rank Test -0.46
Price Variance 0.14
Lagged Price Variance 0.11

United States Lagged Returns

 Regressed Prices 

United States Performance vs DOW

The median price of United States for the period between Tue, Jan 23, 2018 and Thu, Feb 22, 2018 is 21.66 with a coefficient of variation of 3.63. The daily time series for the period is distributed with a sample standard deviation of 0.79, arithmetic mean of 21.63, and mean deviation of 0.68. The Etf received some media coverage during the period.
Price Growth (%)  
As Cintas Market Valuation Rose, Shareholder Jane Street Gro...02/22/2018