iPath Pure Backtesting

iPath Pure Beta Broad Commodity ETN -- USA Etf  

USD 29.7  0.0006  0.002%

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
 Time Horizon     30 Days    Login   to change

iPath Pure 'What if' Analysis

December 17, 2017
No Change 0.00  0.0%
In 30 days
January 16, 2018
If you would invest  0.00  in iPath Pure on December 17, 2017 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 Retail, BlackRock Asset, Source Markets, iShares VII, iShares VII, and Source Markets. The investment seeks to provide investors with exposure to the Barclays Commodity Index Pure Beta Total Return

iPath Pure Upside/Downside Indicators


iPath Pure Market Premium Indicators

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 Beta Backtested Returns

Macroaxis considers iPath Pure not too risky given 1 month investment horizon. iPath Pure Beta shows Sharpe Ratio of 0.7381 which attests that iPath Pure Beta had 0.7381% of return per unit of risk over the last 1 month. Our philosophy towards determining 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 iPath Pure Beta which you can use to evaluate future volatility of the etf. Please utilize iPath Pure Beta Market Risk Adjusted Performance of (1.1) and Mean Deviation of 0.255 to validate if our risk estimates are consistent with your expectations. The entity maintains market beta of -0.2614 which attests that as returns on market increase, returns on owning iPath Pure are expected to decrease at a much smaller rate. During bear market, iPath Pure is likely to outperform the market.. Although it is vital to follow to iPath Pure Beta historical price patterns, it is good to be conservative about what you can actually do with the information regarding 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 0.2906% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.67 

Good predictability

iPath Pure Beta Broad Commodity ETN has good predictability. Overlapping area represents the amount of predictability between iPath Pure time series from December 17, 2017 to January 1, 2018 and January 1, 2018 to January 16, 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 0.67 indicates that around 67.0% of current iPath Pure price fluctuation can be explain by its past prices.
Correlation Coefficient 0.67
Spearman Rank Test 0.64
Price Variance 0.02
Lagged Price Variance 0.19

iPath Pure Lagged Returns

 Regressed Prices 

iPath Pure Performance vs DOW

The median price of iPath Pure for the period between Sun, Dec 17, 2017 and Tue, Jan 16, 2018 is 29.0956 with a coefficient of variation of 2.25. The daily time series for the period is distributed with a sample standard deviation of 0.65, arithmetic mean of 28.84, and mean deviation of 0.58. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)