Lyxor UCITS (Germany) Backtesting

LYME -- Germany ETF  

EUR 27.11  0.38  1.38%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of Lyxor UCITS ETF Hong Kong and determine expected loss or profit from investing in Lyxor UCITS over given investment horizon. Please see also Lyxor UCITS Hype Analysis, Lyxor UCITS Correlation, Portfolio Optimization, Lyxor UCITS Volatility as well as analyze Lyxor UCITS Alpha and Beta and Lyxor UCITS Performance.
Horizon     30 Days    Login   to change

Lyxor UCITS 'What if' Analysis

October 11, 2018
No Change 0.00  0.0%
In 2 months and 2 days
December 10, 2018
If you would invest  0.00  in Lyxor UCITS on October 11, 2018 and sell it all today you would earn a total of 0.00 from holding Lyxor UCITS ETF Hong Kong or generate 0.0% return on investment in Lyxor UCITS over 60 days. Lyxor UCITS is related to or competes with Apple, Apple, Microsoft, Microsoft, Amazon, Ecopetrol, and Alphabet.

Lyxor UCITS Upside/Downside Indicators

Information Ratio0.1182
Maximum Drawdown5.39
Value At Risk(2.37)
Potential Upside2.2

Lyxor UCITS Market Premium Indicators

Risk Adjusted Performance(0.001829)
Jensen Alpha(0.006511)
Total Risk Alpha0.1784
Treynor Ratio(0.39)

Lyxor UCITS ETF Backtested Returns

We consider Lyxor UCITS not too volatile. Lyxor UCITS ETF has Sharpe Ratio of 0.0356 which conveys that Lyxor UCITS ETF had 0.0356% of return per unit of risk over the last 2 months. Our philosophy towards estimating volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for Lyxor UCITS which you can use to evaluate future volatility of the organization. Please verify Lyxor UCITS ETF Hong Kong Mean Deviation of 1.14 and Risk Adjusted Performance of (0.001829) to check out if risk estimate we provide are consistent with the epected return of 0.0509%. The etf secures Beta (Market Risk) of 0.0319 which conveys that as returns on market increase, Lyxor UCITS returns are expected to increase less than the market. However during bear market, the loss on holding Lyxor UCITS will be expected to be smaller as well.. Although it is extremely important to respect Lyxor UCITS ETF price patterns, it is better to be realistic regarding the information on equity historical price patterns. The philosophy towards estimating 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 analyzing Lyxor UCITS ETF technical indicators you can presently evaluate if the expected return of 0.0509% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.18) 
correlation synergy

Insignificant reverse predictability

Lyxor UCITS ETF Hong Kong has insignificant reverse predictability. Overlapping area represents the amount of predictability between Lyxor UCITS time series from October 11, 2018 to November 10, 2018 and November 10, 2018 to December 10, 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 Lyxor UCITS ETF price movement. The serial correlation of -0.18 indicates that over 18.0% of current Lyxor UCITS price fluctuation can be explain by its past prices. Given that Lyxor UCITS ETF Hong Kong has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of Lyxor UCITS for similar time interval.
Correlation Coefficient-0.18
Spearman Rank Test0.3
Residual Average0.0
Price Variance0.22

Lyxor UCITS ETF lagged returns against current returns

 Current and Lagged Values 

Lyxor UCITS regressed lagged prices vs. current prices

 Current vs Lagged Prices 

Lyxor UCITS Lagged Returns

 Regressed Prices 

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Please see also Lyxor UCITS Hype Analysis, Lyxor UCITS Correlation, Portfolio Optimization, Lyxor UCITS Volatility as well as analyze Lyxor UCITS Alpha and Beta and Lyxor UCITS Performance. Please also try Portfolio Anywhere module to track or share privately all of your investments from the convenience of any device.