iPath Pure Backtesting

BCM -- USA Etf  

USD 29.78  0.003  0.0101%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iPath Pure Beta Broad Commodity ETN and determine expected loss or profit from investing in iPath Pure over given investment horizon. Check also iPath Pure Hype Analysis, iPath Pure Correlation, Portfolio Optimization, iPath Pure Volatility as well as analyze iPath Pure Alpha and Beta and iPath Pure Performance.
Horizon     30 Days    Login   to change

iPath Pure 'What if' Analysis

September 18, 2018
No Change 0.00  0.0%
In 31 days
October 18, 2018
If you would invest  0.00  in iPath Pure on September 18, 2018 and sell it all today you would earn a total of 0.00 from holding iPath Pure Beta Broad Commodity ETN or generate 0.0% return on investment in iPath Pure over 30 days. iPath Pure is related to or competes with iShares SP, GS Connect, iPath SP, GraniteShares SPGSCI, USCF SummerHaven, Verizon Communications, and 3M. The investment seeks to provide investors with exposure to the Barclays Commodity Index Pure Beta Total Return

iPath Pure Upside/Downside Indicators

Downside Deviation0.8557
Information Ratio0.228
Maximum Drawdown4.0
Value At Risk1.25
Potential Upside1.45

iPath Pure Market Premium Indicators

Risk Adjusted Performance0.1398
Jensen Alpha0.152
Total Risk Alpha0.1994
Sortino Ratio0.2479
Treynor Ratio0.2883

iPath Pure Beta Backtested Returns

We consider iPath Pure not too risky. iPath Pure Beta shows Sharpe Ratio of 0.1612 which attests that iPath Pure Beta had 0.1612% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 iPath Pure Beta which you can use to evaluate future volatility of the etf. Please check out iPath Pure Beta Market Risk Adjusted Performance of 0.2983, Mean Deviation of 0.6544 and Downside Deviation of 0.8557 to validate if risk estimate we provide are consistent with the epected return of 0.145%. The entity maintains market beta of 0.3924 which attests that as returns on market increase, iPath Pure returns are expected to increase less than the market. However during bear market, the loss on holding iPath Pure will be expected to be smaller as well.. Although it is extremely important to respect iPath Pure Beta historical price patterns, it is better to be realistic regarding the information on equity current price history. The philosophy towards determining 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 iPath Pure Beta technical indicators you can presently evaluate if the expected return of 0.145% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.61) 

Very good reverse predictability

iPath Pure Beta Broad Commodity ETN has very good reverse predictability. Overlapping area represents the amount of predictability between iPath Pure time series from September 18, 2018 to October 3, 2018 and October 3, 2018 to October 18, 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 iPath Pure Beta price movement. The serial correlation of -0.61 indicates that roughly 61.0% of current iPath Pure price fluctuation can be explain by its past prices. Given that iPath Pure Beta Broad Commodity ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iPath Pure for similar time interval.
Correlation Coefficient-0.61
Spearman Rank Test-0.59
Residual Average0.0
Price Variance0.05

iPath Pure Beta lagged returns against current returns

 Current and Lagged Values 

iPath Pure regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iPath Pure Lagged Returns

 Regressed Prices 

Current Sentiment - BCM

iPath Pure Beta Investor Sentiment

Greater number of Macroaxis users are currently bullish on iPath Pure Beta Broad Commodity ETN. What is your take regarding investing in iPath Pure Beta Broad Commodity ETN? Are you bullish or bearish?
98% Bullish
2% Bearish

iPath Pure Pair Correlation

Equities Pair Trading Analysis

Correlation analysis and pair trading evaluation for iPath Pure and iShares SP GSCI. Pair trading can be used as a hedging technique within a particular sector or industry or even over random equities to generate better risk-adjusted return
Run Pair Correlation  
Check also iPath Pure Hype Analysis, iPath Pure Correlation, Portfolio Optimization, iPath Pure Volatility as well as analyze iPath Pure Alpha and Beta and iPath Pure Performance. Please also try World Markets Correlation module to find global opportunities by holding instruments from different markets.
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