iPath Pure Backtesting

BCM -- USA Etf  

USD 28.59  0.11  0.37%

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
SymbolX
Backtest

iPath Pure 'What if' Analysis

June 19, 2018
0.00
No Change 0.00  0.0%
In 31 days
July 19, 2018
0.00
If you would invest  0.00  in iPath Pure on June 19, 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 PowerShares DB, iShares SP, PowerShares Optm, iPath Bloomberg, ELEMENTS Rogers, First Trust, and GREENHAVEN CONT. The investment seeks to provide investors with exposure to the Barclays Commodity Index Pure Beta Total Return

iPath Pure Upside/Downside Indicators

Information Ratio0.39
Maximum Drawdown3.2
Value At Risk1.38
Potential Upside0.8358
  

iPath Pure Market Premium Indicators

Risk Adjusted Performance0.12
Jensen Alpha0.21
Total Risk Alpha0.34
Treynor Ratio0.57

iPath Pure Beta Backtested Returns

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.
Advice Volatility Trend Exposure Correlations
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

iPath Pure Beta lagged returns against current returns

 Current and Lagged Values 
      Timeline 

iPath Pure regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

iPath Pure Lagged Returns

 Regressed Prices 
      Timeline 

Did you try this?

Run Price Ceiling Movement Now
   

Price Ceiling Movement

Calculate and plot Price Ceiling Movement for different equity instruments
All  Next Launch Price Ceiling Movement

Pair Correlation

Equities Pair Trading Analysis
Correlation analysis and pair trading evaluation for iPath Pure and PowerShares DB Commo. 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 Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.