UBS ETRACS Backtesting

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

USD 20.5  0.73  3.69%

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

UBS ETRACS 'What if' Analysis

November 10, 2017
No Change 0.00  0.0%
In 31 days
December 10, 2017
If you would invest  0.00  in UBS ETRACS on November 10, 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 ProShares Ultra, VelocityShares 3x, 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 

UBS ETRACS regressed lagged prices vs. current prices

 Current vs Lagged Prices 

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

UBS ETRACS Performance vs DOW

The median price of UBS ETRACS for the period between Fri, Nov 10, 2017 and Sun, Dec 10, 2017 is 20.5 with a coefficient of variation of 4.68. The daily time series for the period is distributed with a sample standard deviation of 0.95, arithmetic mean of 20.39, and mean deviation of 0.74. The Etf received some media coverage during the period.
Price Growth (%)  
NYSE Arca Wednesday Top Equities and Stocks Summary, Dec. 612/06/2017