Macroaxis considers iPath SP to be not too risky. iPath SP GSCI
shows Sharpe Ratio of -0.2055 which attests that iPath SP GSCI
had -0.2055% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any ipath goldman sachs crude oil total return index etn is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. iPath SP GSCI 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 SP GSCI Mean Deviation
of 8.7 to validate risk estimate we provide. The entity maintains market beta of 0.0 which attests that the returns on MARKET and iPath SP are completely uncorrelated. Even though it is essential to pay attention to iPath SP GSCI
historical price patterns
, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any ipath goldman sachs crude oil total return index etn is to check both, its past performance charts as well as the business as a whole, including all available technical indicators
. iPath SP GSCI exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.55) |
Good reverse predictability
iPath SP GSCI Crude Oil TR ETN has good reverse predictability. Overlapping area represents the amount of predictability between iPath SP time series from July 15, 2018 to July 30, 2018 and July 30, 2018 to August 14, 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 -0.55 indicates that about 55.0% of current iPath SP price fluctuation can be explain by its past prices. Given that iPath SP GSCI Crude Oil TR ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iPath SP for similar time interval.
|Correlation Coefficient|| -0.55|
|Spearman Rank Test|| 0.15|
|Price Variance|| 264178.92|
|Lagged Price Variance|| 1129.03|