UBS ETRACS - Backtested Returns
Macroaxis considers UBS ETRACS relatively volatile given 1 month investment horizon. UBS ETRACS -
owns Efficiency Ratio (i.e. Sharpe Ratio) of 0.0914 which indicates UBS ETRACS -
had 0.0914% 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 operate UBS ETRACS Risk Adjusted Performance
of 0.0187, Market Risk Adjusted Performance
of (0.020234) and Downside Deviation of 4.15 to confirm if our risk estimates are consistent with your expectations. The entity has beta of -5.2764 which indicates as returns on market increase, returns on owning UBS ETRACS are expected to decrease by larger amounts. On the other hand, during market turmoil, UBS ETRACS is expected to significantly outperform it.. Although it is vital to follow to UBS ETRACS - 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. By examining UBS ETRACS - technical indicators you can now evaluate if the expected return of 0.376% will be sustainable into the future.
|15 days auto-correlation|| 0.12 |
UBS ETRACS - ProShares Daily 3x Long Crude ETN has insignificant predictability. Overlapping area represents the amount of predictability between UBS ETRACS time series from September 19, 2017 to October 4, 2017 and October 4, 2017 to October 19, 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 0.12 indicates that less than 12.0% of current UBS ETRACS price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.12|
|Spearman Rank Test|| -0.23|
|Price Variance|| 0.52|
|Lagged Price Variance|| 0.5|
UBS ETRACS Lagged Returns