iPath SP Backtesting

iPath SP GSCI Crude Oil TR ETN -- USA iPath Goldman Sachs Crude Oil Total Return Index ETN  

USD 7.61  1,859  99.59%

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
SymbolX
Backtest

iPath SP 'What if' Analysis

February 22, 2018
0.00
No Change 0.00  0.0%
In 2 months and 2 days
April 23, 2018
0.00
If you would invest  0.00  in iPath SP on February 22, 2018 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 60 days. iPath SP is related to or competes with Impac Mortgage, Federal Home, Federal Home, Federal Home, Federal Home, Eagle Energy, and MORGAN STANLEY. The investment seeks to provide with exposure to the SP GSCI Crude Oil Total Return Index

iPath SP Upside/Downside Indicators

Downside Deviation25.79
Information Ratio0.1502
Maximum Drawdown24546.5
Value At Risk3.23
Potential Upside3.77
  

iPath SP Market Premium Indicators

Risk Adjusted Performance0.2589
Jensen Alpha554.14
Total Risk Alpha681.24
Sortino Ratio21.46
Treynor Ratio54.72

iPath SP GSCI Backtested Returns

iPath SP is extremely volatile given 2 months investment horizon. iPath SP GSCI shows Sharpe Ratio of 0.1378 which attests that iPath SP GSCI had 0.1378% of return per unit of risk over the last 2 months. Our philosophy towards determining volatility of a ipath goldman sachs crude oil total return index etn is to use iPath SP GSCI market data together with company specific technical indicators. We found twenty-seven different technical indicators which can help you to evaluate if expected returns of 21.1672% are justified by taking the suggested risk. Use iPath SP GSCI Crude Oil TR ETN Market Risk Adjusted Performance of 54.73, Mean Deviation of 1086.06 and Coefficient Of Variation of 665.83 to evaluate company specific risk that cannot be diversified away. The entity maintains market beta of 10.1165 which attests that as market goes up, the company is expected to significantly outperform it. However, if the market returns are negative, iPath SP will likely underperform.. Although it is essential to pay attention to iPath SP GSCI historical price patterns, it is also good to be reasonable about what you can actually do with equity current price history. Macroaxis philosophy towards determining future performance of any ipath goldman sachs crude oil total return index etn is to look not only at its past charts but also at the business as a whole, including all available fundamental and technical indicators. To evaluate if iPath SP GSCI expected return of 21.1672 will be sustainable into the future, we have found twenty-seven different technical indicators which can help you to check if the expected returns are sustainable.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.04 

Virtually no predictability

iPath SP GSCI Crude Oil TR ETN has virtually no predictability. Overlapping area represents the amount of predictability between iPath SP time series from February 22, 2018 to March 24, 2018 and March 24, 2018 to April 23, 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 0.04 indicates that only as little as 4.0% of current iPath SP price fluctuation can be explain by its past prices.
Correlation Coefficient 0.04
Spearman Rank Test -0.02
Price Variance 539593.13
Lagged Price Variance 0.03

iPath SP GSCI lagged returns against current returns

 Current and Lagged Values 
      Timeline 

iPath SP regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

iPath SP Lagged Returns

 Regressed Prices 
      Timeline 

Current Sentiment - OIL

iPath SP GSCI Investor Sentiment
Greater number of Macroaxis users are now bullish on iPath SP GSCI Crude Oil TR ETN. What is your take regarding investing in iPath SP GSCI Crude Oil TR ETN? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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. Please also try Cryptocurrency Arbitrage module to find pairs of digital assets on multiple exchanges that are traded at a risk free arbitrage.