iPath SP Backtesting

iPath SP GSCI Crude Oil TR ETN -- USA Etf  

USD 5.39  0.04  0.75%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iPath SP GSCI Crude Oil TR ETN and determine expected loss or profit from investing in iPath SP over given investment horizon. Additionally take a look at iPath SP Hype Analysis, iPath SP Correlation, Portfolio Optimization, iPath SP Volatility as well as analyze iPath SP Alpha and Beta and iPath SP Performance
Investment Horizon     30 Days    Login   to change

iPath SP 'What if' Analysis

September 23, 2017
No Change 0.00  0.0%
In 31 days
October 23, 2017
If you would invest  0.00  in iPath SP on September 23, 2017 and sell it all today you would earn a total of 0.00 from holding iPath SP GSCI Crude Oil TR ETN or generate 0.0% return on investment in iPath SP over 30 days. iPath SP is related to or competes with Credit Suisse, Vanguard Total, JPMorgan Chase, Intel, and Boeing. The investment seeks to provide with exposure to the SP GSCI Crude Oil Total Return Index

iPath SP Upside/Downside Indicators


iPath SP Market Premium Indicators

iPath SP GSCI lagged returns against current returns

 Current and Lagged Values 

iPath SP regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iPath SP GSCI Backtested Returns

Macroaxis considers iPath SP to be relatively volatile. iPath SP GSCI shows Sharpe Ratio of -0.0496 which attests that iPath SP GSCI had -0.0496% 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 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 Market Risk Adjusted Performance of 0.4751, Mean Deviation of 1.37 and Downside Deviation of 1.74 to validate risk estimate we provide. The entity maintains market beta of 0.1972 which attests that as returns on market increase, iPath SP returns are expected to increase less than the market. However during bear market, the loss on holding iPath SP will be expected to be smaller as well.. 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 etf 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.74) 

Almost perfect reverse predictability

iPath SP GSCI Crude Oil TR ETN has almost perfect reverse predictability. Overlapping area represents the amount of predictability between iPath SP 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 SP GSCI price movement. The serial correlation of -0.74 indicates that around 74.0% 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 -0.74
Spearman Rank Test -0.52
Price Variance 0.01
Lagged Price Variance 0.02

iPath SP Lagged Returns

 Regressed Prices 

iPath SP Performance vs DOW

The median price of iPath SP for the period between Sat, Sep 23, 2017 and Mon, Oct 23, 2017 is 5.35 with a coefficient of variation of 2.12. The daily time series for the period is distributed with a sample standard deviation of 0.11, arithmetic mean of 5.32, and mean deviation of 0.09. The Etf received some media coverage during the period.
Price Growth (%)  
iPath SandP GSCI Crude Oil Total Return Holdings Lowered by ...10/19/2017