iPath Pure Backtesting

iPath Pure Beta Broad Commodity ETN -- USA Etf  

USD 29.75  0.02  0.0672%

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

February 22, 2018
No Change 0.00  0.0%
In 31 days
March 24, 2018
If you would invest  0.00  in iPath Pure on February 22, 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, iPath Bloomberg, PowerShares Optm, ELEMENTS Rogers, and First Trust. iPath Pure Beta Broad Commodity ETN is USA based ETF administrated by null

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

We consider iPath Pure not too risky. iPath Pure Beta shows Sharpe Ratio of 0.0319 which attests that iPath Pure Beta had 0.0319% 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 check out iPath Pure Beta Market Risk Adjusted Performance of 22.49, Mean Deviation of 0.5166 and Downside Deviation of 0.6791 to validate if risk estimate we provide are consistent with the epected return of 0.0212%. The entity maintains market beta of 5.0E-4 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 0.0212% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.02) 

Very weak reverse predictability

iPath Pure Beta Broad Commodity ETN has very weak reverse predictability. Overlapping area represents the amount of predictability between iPath Pure time series from February 22, 2018 to March 9, 2018 and March 9, 2018 to March 24, 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 -0.02 indicates that only 2.0% 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 -0.02
Spearman Rank Test 0.03
Price Variance 0.03
Lagged Price Variance 0.04

iPath Pure Lagged Returns

 Regressed Prices 

iPath Pure Performance vs DOW

The median price of iPath Pure for the period between Thu, Feb 22, 2018 and Sat, Mar 24, 2018 is 29.38 with a coefficient of variation of 0.71. The daily time series for the period is distributed with a sample standard deviation of 0.21, arithmetic mean of 29.47, and mean deviation of 0.18. The Etf did not receive any noticable media coverage during the period.
 Price Growth (%)