UBS ETRACS Backtesting

UBS ETRACS - ProShares Daily 3x Long Crude ETN -- USA Etf  

USD 15.37  0.63  3.94%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of UBS ETRACS - ProShares Daily 3x Long Crude ETN and determine expected loss or profit from investing in UBS ETRACS over given investment horizon. See also UBS ETRACS Hype Analysis, UBS ETRACS Correlation, Portfolio Optimization, UBS ETRACS Volatility as well as analyze UBS ETRACS Alpha and Beta and UBS ETRACS Performance
Investment Horizon     30 Days    Login   to change
SymbolX
Backtest

UBS ETRACS 'What if' Analysis

September 19, 2017
 0.00 
No Change 0.00  0.0%
In 31 days
October 19, 2017
 0.00 
If you would invest  0.00  in UBS ETRACS on September 19, 2017 and sell it all today you would earn a total of 0.00 from holding UBS ETRACS - ProShares Daily 3x Long Crude ETN or generate 0.0% return on investment in UBS ETRACS over 30 days. UBS ETRACS is related to or competes with VelocityShares 3x, ProShares Ultra, DB Gold, VelocityShares 3x, ProShares Ultra, and . The 3X Long Securities provide a daily long leveraged exposure to the performance of the Bloomberg WTI Crude Oil Subinde...

UBS ETRACS Upside/Downside Indicators

  

UBS ETRACS Market Premium Indicators

UBS ETRACS - lagged returns against current returns

 Current and Lagged Values 
      Timeline 

UBS ETRACS regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.12 

Insignificant predictability

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

 Regressed Prices 
      Timeline 

UBS ETRACS Performance vs DOW

The median price of UBS ETRACS for the period between Tue, Sep 19, 2017 and Thu, Oct 19, 2017 is 15.37 with a coefficient of variation of 4.76. The daily time series for the period is distributed with a sample standard deviation of 0.73, arithmetic mean of 15.31, and mean deviation of 0.58. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)  
      Timeline