iPath Bloomberg Energy Backtested Returns
Macroaxis considers iPath Bloomberg to be relatively risky. iPath Bloomberg Energy
shows Sharpe Ratio of -0.0119 which attests that iPath Bloomberg Energy
had -0.0119% 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 Bloomberg Energy exposes twenty-eight different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iPath Bloomberg Energy Market Risk Adjusted Performance
of (0.006857) and Mean Deviation of 0.861 to validate risk estimate we provide. The entity maintains market beta of -1.27 which attests that as returns on market increase, returns on owning iPath Bloomberg are expected to decrease by larger amounts. On the other hand, during market turmoil, iPath Bloomberg is expected to significantly outperform it.. Even though it is essential to pay attention to iPath Bloomberg Energy 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 Bloomberg Energy exposes twenty-eight different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.59) |
Good reverse predictability
iPath Bloomberg Energy SubTR ETN has good reverse predictability. Overlapping area represents the amount of predictability between iPath Bloomberg time series from September 23, 2017 to October 8, 2017 and October 8, 2017 to October 23, 2017. 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 Bloomberg Energy price movement. The serial correlation of -0.59 indicates that roughly 59.0% of current iPath Bloomberg price fluctuation can be explain by its past prices. Given that iPath Bloomberg Energy SubTR ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iPath Bloomberg for similar time interval.
|Correlation Coefficient|| -0.59|
|Spearman Rank Test|| -0.6|
|Price Variance|| 0.01|
|Lagged Price Variance|| 0.02|
iPath Bloomberg Lagged Returns