UBS ETRACS - Backtested Returns
We consider UBS ETRACS moderately volatile. UBS ETRACS -
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0217 which indicates UBS ETRACS -
had 0.0217% of return per unit of standard deviation over the last 1 month. Our approach into 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 UBS ETRACS - ProShares Daily 3x Long Crude ETN which you can use to evaluate future volatility of the entity. Please validate UBS ETRACS Risk Adjusted Performance
of 0.0211, Market Risk Adjusted Performance
of (0.14) and Downside Deviation of 4.39 to confirm if risk estimate we provide are consistent with the epected return of 0.093%. The entity has beta of -0.6073 which indicates as returns on market increase, returns on owning UBS ETRACS are expected to decrease at a much smaller rate. During bear market, UBS ETRACS is likely to outperform the market.. Although it is extremely important to respect UBS ETRACS - current price movements, it is better to be realistic regarding the information on equity historical returns. The approach into 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 examining UBS ETRACS - technical indicators you can now evaluate if the expected return of 0.093% will be sustainable into the future.
|15 days auto-correlation||(0.33) |
Poor reverse predictability
UBS ETRACS - ProShares Daily 3x Long Crude ETN has poor reverse predictability. Overlapping area represents the amount of predictability between UBS ETRACS time series from November 10, 2017 to November 25, 2017 and November 25, 2017 to December 10, 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 UBS ETRACS - price movement. The serial correlation of -0.33 indicates that nearly 33.0% of current UBS ETRACS price fluctuation can be explain by its past prices. Given that UBS ETRACS - ProShares Daily 3x Long Crude ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of UBS ETRACS for similar time interval.
|Correlation Coefficient|| -0.33|
|Spearman Rank Test|| -0.61|
|Price Variance|| 0.47|
|Lagged Price Variance|| 1.2|
UBS ETRACS Lagged Returns