iPath SP GSCI Backtested Returns
Macroaxis considers iPath SP not very volatile given 1 month investment horizon. iPath SP GSCI
shows Sharpe Ratio of 0.54 which attests that iPath SP GSCI
had 0.54% 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. By examining iPath SP GSCI technical indicators
you can presently evaluate if the expected return of 0.6253% is justified by implied risk. Please utilize iPath SP GSCI Market Risk Adjusted Performance
of (1.54) and Mean Deviation of 0.7498 to validate if our risk estimates are consistent with your expectations. The entity maintains market beta of -0.413 which attests that as returns on market increase, returns on owning iPath SP are expected to decrease at a much smaller rate. During bear market, iPath SP is likely to outperform the market.. Although it is vital to follow to iPath SP GSCI 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. We have found twenty-one technical indicators for iPath SP GSCI which you can use to evaluate performance of the etf.
|15 days auto-correlation|| 0.79 |
iPath SP GSCI Crude Oil TR ETN has good predictability. Overlapping area represents the amount of predictability between iPath SP time series from December 21, 2017 to January 5, 2018 and January 5, 2018 to January 20, 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 SP GSCI price movement. The serial correlation of 0.79 indicates that around 79.0% of current iPath SP price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.79|
|Spearman Rank Test|| 0.83|
|Price Variance|| 0.02|
|Lagged Price Variance|| 0.03|
iPath SP Lagged Returns