United States Backtesting

United States 12 Month Oil -- USA Etf  

USD 18.21  0.15  0.82%

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
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 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 
      Timeline 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

United States 12 Backtested Returns

We consider United States not too volatile. United States 12 owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0736 which indicates United States 12 had 0.0736% of return per unit of risk over the last 1 month. 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 12 Month Oil which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 0.9479, Coefficient Of Variation of 1479.08 and Risk Adjusted Performance of 0.026 to confirm if risk estimate we provide are consistent with the epected return of 0.0879%. The entity has beta of 0.4034 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 0.0879% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.19) 

Insignificant reverse predictability

United States 12 Month Oil has insignificant reverse 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 12 price movement. The serial correlation of -0.19 indicates that over 19.0% 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 -0.19
Spearman Rank Test -0.82
Price Variance 0.04
Lagged Price Variance 0.05

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 18.22 with a coefficient of variation of 1.32. The daily time series for the period is distributed with a sample standard deviation of 0.24, arithmetic mean of 18.15, and mean deviation of 0.2. The Etf received some media coverage during the period.
Price Growth (%)  
      Timeline 
1
United States Oil Fund LP Holdings Raised by First Allied Ad...10/18/2017