Macroaxis considers iPath Pure to be not too risky. iPath Pure Beta
shows Sharpe Ratio of -0.2098 which attests that iPath Pure Beta
had -0.2098% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. iPath Pure Beta exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iPath Pure Beta Market Risk Adjusted Performance
of 0.56 and Mean Deviation of 0.5661 to validate risk estimate we provide. The entity maintains market beta of 0.2987 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.. Even though it is essential to pay attention to iPath Pure Beta historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. iPath Pure Beta exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.22) |
Weak reverse predictability
iPath Pure Beta Broad Commodity ETN has weak reverse predictability. Overlapping area represents the amount of predictability between iPath Pure time series from June 19, 2018 to July 4, 2018 and July 4, 2018 to July 19, 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 -0.22 indicates that over 22.0% 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|| -0.22|
|Spearman Rank Test|| -0.27|
|Price Variance|| 0.2|
|Lagged Price Variance|| 0.02|