iPath SP Backtesting

iPath SP GSCI Crude Oil TR ETN -- USA Etf  

USD 7.09  0.04  0.57%

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
 Time Horizon     30 Days    Login   to change

iPath SP 'What if' Analysis

December 21, 2017
No Change 0.00  0.0%
In 31 days
January 20, 2018
If you would invest  0.00  in iPath SP on December 21, 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 United States, United States, PowerShares DB, PowerShares DB, and United States. 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 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.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.79 

Good predictability

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

 Regressed Prices 

iPath SP Performance vs DOW

The median price of iPath SP for the period between Thu, Dec 21, 2017 and Sat, Jan 20, 2018 is 6.77 with a coefficient of variation of 5.12. The daily time series for the period is distributed with a sample standard deviation of 0.34, arithmetic mean of 6.69, and mean deviation of 0.3. The Etf did not receive any noticable media coverage during the period.
Price Growth (%)