United States Backtesting

United States Oil -- USA Etf  

USD 12.79  0.24  1.91%

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

February 18, 2018
No Change 0.00  0.0%
In 31 days
March 20, 2018
If you would invest  0.00  in United States on February 18, 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 Realty Income, Diamond Hill, AllianceBernstein, Associated Capital, Arlington Asset, and Blackstone Group. United States Oil is USA based ETF administrated by Brown Brothers Harriman Co.

United States Upside/Downside Indicators


United States Market Premium Indicators

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 Oil Backtested Returns

We consider United States not very risky. United States Oil owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1174 which indicates United States Oil had 0.1174% 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-eight technical indicators for United States Oil which you can use to evaluate future volatility of the etf. Please validate United States Semi Deviation of 1.15, Coefficient Of Variation of 1503.85 and Risk Adjusted Performance of 0.0761 to confirm if risk estimate we provide are consistent with the epected return of 0.1687%. The entity has beta of -0.3638 which indicates as returns on market increase, returns on owning United States are expected to decrease at a much smaller rate. During bear market, United States is likely to outperform the market.. Although it is extremely important to respect United States Oil 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 Oil technical indicators you can presently evaluate if the expected return of 0.1687% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.17) 

Insignificant reverse predictability

United States Oil has insignificant reverse predictability. Overlapping area represents the amount of predictability between United States time series from February 18, 2018 to March 5, 2018 and March 5, 2018 to March 20, 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 -0.17 indicates that over 17.0% 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 -0.17
Spearman Rank Test 0.52
Price Variance 0.02
Lagged Price Variance 0.03

United States Lagged Returns

 Regressed Prices 

United States Performance vs DOW

The median price of United States for the period between Sun, Feb 18, 2018 and Tue, Mar 20, 2018 is 12.38 with a coefficient of variation of 1.41. The daily time series for the period is distributed with a sample standard deviation of 0.18, arithmetic mean of 12.45, and mean deviation of 0.14. The Etf did not receive any noticable media coverage during the period.
 Price Growth (%)