Macroaxis considers UBS ETRACS not very risky given 1 month investment horizon. UBS ETRACS ProShares
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.1687 which indicates UBS ETRACS ProShares
had 0.1687% of return per unit of standard deviation over the last 1 month. Our approach into measuring volatility of an etf is to use all available market data together with etf specific technical indicators
that cannot be diversified away. By examining UBS ETRACS ProShares technical indicators
you can now evaluate if the expected return of 0.6354% is justified by implied risk. Please operate UBS ETRACS Risk Adjusted Performance
of 0.0131, Market Risk Adjusted Performance
of 0.0445 and Downside Deviation
of 3.25 to confirm if our risk estimates are consistent with your expectations. The entity has beta of 0.6204 which indicates as returns on market increase, UBS ETRACS returns are expected to increase less than the market. However during bear market, the loss on holding UBS ETRACS will be expected to be smaller as well.. Although it is vital to follow to UBS ETRACS ProShares
current price movements, it is good to be conservative about what you can actually do with the information regarding 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
. We have found twenty-one technical indicators
for UBS ETRACS ProShares Dly 3x Lng Crud ETN which you can use to evaluate performance of the entity.
|15 days auto-correlation|| 0.06 |
Virtually no predictability
UBS ETRACS ProShares Dly 3x Lng Crud ETN has virtually no predictability. Overlapping area represents the amount of predictability between UBS ETRACS time series from August 22, 2018 to September 6, 2018 and September 6, 2018 to September 21, 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 UBS ETRACS ProShares price movement. The serial correlation of 0.06 indicates that barely 6.0% of current UBS ETRACS price fluctuation can be explain by its past prices.
|Spearman Rank Test||0.29|