United States Backtesting

USO -- USA Etf  

USD 13.94  0.53  3.66%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of United States 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

June 17, 2018
No Change 0.00  0.0%
In 30 days
July 17, 2018
If you would invest  0.00  in United States on June 17, 2018 and sell it all today you would earn a total of 0.00 from holding United States Oil or generate 0.0% return on investment in United States over 30 days. United States is related to or competes with PowerShares DB, United States, PowerShares DB, VelocityShares 3x, VelocityShares 3x, and ProShares Trust. United States Oil is USA based ETF administrated by Brown Brothers Harriman Co.

United States Upside/Downside Indicators

Downside Deviation2.85
Information Ratio0.0139
Maximum Drawdown10.38
Value At Risk3.66
Potential Upside3.63

United States Market Premium Indicators

Risk Adjusted Performance0.05
Jensen Alpha0.0484
Total Risk Alpha0.32
Sortino Ratio0.0114
Treynor Ratio0.1785

United States Oil Backtested Returns

Macroaxis considers United States not very volatile given 1 month investment horizon. United States Oil owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1127 which indicates United States Oil had 0.1127% 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 Oil which you can use to evaluate future volatility of the etf. Please operate United States Semi Deviation of 2.63, Coefficient Of Variation of 1418.41 and Risk Adjusted Performance of 0.05 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.8712 which indicates United States returns are very sensitive to returns on the market. as market goes up or down, United States is expected to follow.. Although it is vital to follow to United States Oil current price movements, it is good to be conservative about what you can actually do with the information regarding 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 Oil technical indicators you can presently evaluate if the expected return of 0.2513% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.84) 

Excellent reverse predictability

United States Oil has excellent reverse predictability. Overlapping area represents the amount of predictability between United States time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 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 Oil price movement. The serial correlation of -0.84 indicates that around 84.0% of current United States price fluctuation can be explain by its past prices. Given that United States 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 -0.84
Spearman Rank Test -0.56
Price Variance 0.16
Lagged Price Variance 0.5

United States Oil lagged returns against current returns

 Current and Lagged Values 

United States regressed lagged prices vs. current prices

 Current vs Lagged Prices 

United States Lagged Returns

 Regressed Prices 

Current Sentiment - USO

United States Oil Investor Sentiment
Predominant part of Macroaxis users are at this time bullish on United States Oil. What is your outlook on investing in United States Oil? Are you bullish or bearish?
98% Bullish
2% Bearish

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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 World Markets Correlation module to find global opportunities by holding instruments from different markets.