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.
|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