ETFS Wheat (UK) Backtesting

WEAT -- UK ETF  

USD 0.71  0.0155  2.24%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of ETFS Wheat ETC and determine expected loss or profit from investing in ETFS Wheat over given investment horizon. See also ETFS Wheat Hype Analysis, ETFS Wheat Correlation, Portfolio Optimization, ETFS Wheat Volatility as well as analyze ETFS Wheat Alpha and Beta and ETFS Wheat Performance.
 Time Horizon     30 Days    Login   to change
SymbolX
Backtest

ETFS Wheat 'What if' Analysis

July 21, 2018
0.00
No Change 0.00  0.0%
In 31 days
August 20, 2018
0.00
If you would invest  0.00  in ETFS Wheat on July 21, 2018 and sell it all today you would earn a total of 0.00 from holding ETFS Wheat ETC or generate 0.0% return on investment in ETFS Wheat over 30 days. ETFS Wheat is related to or competes with Toyota Motor, Ossur hf, OTP Bank, Toshiba 0Q0C, Richter Gedeon, Apple Inc, and RICOH. ETFS Wheat is designed to enable investors to gain an exposure to a total return investment in wheat by tracking the Blo...

ETFS Wheat Upside/Downside Indicators

Downside Deviation2.4
Information Ratio0.1873
Maximum Drawdown10.34
Value At Risk2.57
Potential Upside3.28
  

ETFS Wheat Market Premium Indicators

Risk Adjusted Performance0.1141
Jensen Alpha0.4531
Total Risk Alpha0.3107
Sortino Ratio0.1697
Treynor Ratio0.82

ETFS Commodity Secur Backtested Returns

Macroaxis considers ETFS Wheat abnormally risky given 1 month investment horizon. ETFS Commodity Secur secures Sharpe Ratio (or Efficiency) of 0.1485 which denotes ETFS Commodity Secur had 0.1485% of return per unit of return volatility over the last 1 month. Our approach to predicting 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 ETFS Wheat ETC which you can use to evaluate future volatility of the entity. Please utilize ETFS Commodity Secur Downside Deviation of 2.4 and Mean Deviation of 1.6 to check if our risk estimates are consistent with your expectations. The organization shows Beta (market volatility) of -0.5322 which denotes to the fact that as returns on market increase, returns on owning ETFS Wheat are expected to decrease at a much smaller rate. During bear market, ETFS Wheat is likely to outperform the market.. Although it is vital to follow to ETFS Commodity Secur historical returns, it is good to be conservative about what you can actually do with the information regarding equity current trending patterns. The approach to predicting 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 ETFS Commodity Secur technical indicators you can today evaluate if the expected return of 0.3253% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.71) 

Almost perfect reverse predictability

ETFS Wheat ETC has almost perfect reverse predictability. Overlapping area represents the amount of predictability between ETFS Wheat time series from July 21, 2018 to August 5, 2018 and August 5, 2018 to August 20, 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 ETFS Commodity Secur price movement. The serial correlation of -0.71 indicates that around 71.0% of current ETFS Wheat price fluctuation can be explain by its past prices. Given that ETFS Wheat ETC has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of ETFS Wheat for similar time interval.
Correlation Coefficient -0.71
Spearman Rank Test -0.73
Average Price 0.71
Lagged Average Price 0.7

ETFS Commodity Secur lagged returns against current returns

 Current and Lagged Values 
      Timeline 

ETFS Wheat regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

ETFS Wheat Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - WEAT

ETFS Commodity Secur Investor Sentiment
Macroaxis portfolio users are unemotional in their outlook on investing in ETFS Wheat ETC. What is your opinion about investing in ETFS Wheat ETC? Are you bullish or bearish?
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See also ETFS Wheat Hype Analysis, ETFS Wheat Correlation, Portfolio Optimization, ETFS Wheat Volatility as well as analyze ETFS Wheat Alpha and Beta and ETFS Wheat Performance. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.