We consider iPath B not too risky. iPath B SP
shows Sharpe Ratio of 0.1559 which attests that iPath B SP
had 0.1559% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of an etf is to use all available market data together with etf specific technical indicators
that cannot be diversified away. We have found twenty-one technical indicators
for iPath B SP which you can use to evaluate future volatility of the etf. Please check out iPath B SP Market Risk Adjusted Performance
of 0.3705, Mean Deviation
of 0.8787 and Downside Deviation
of 0.9919 to validate if risk estimate we provide are consistent with the epected return of 0.1887%. The entity maintains market beta of 0.4162 which attests that as returns on market increase, iPath B returns are expected to increase less than the market. However during bear market, the loss on holding iPath B will be expected to be smaller as well.. Although it is extremely important to respect iPath B SP
historical price patterns
, it is better to be realistic regarding the information on 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
. By examining iPath B SP technical indicators
you can presently evaluate if the expected return of 0.1887% will be sustainable into the future.
|15 days auto-correlation|| 0.07 |
Virtually no predictability
iPath B SP GSCI Crude Oil TR ETN has virtually no predictability. Overlapping area represents the amount of predictability between iPath B time series from August 23, 2018 to September 7, 2018 and September 7, 2018 to September 22, 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 B SP price movement. The serial correlation of 0.07 indicates that barely 7.0% of current iPath B price fluctuation can be explain by its past prices.
|Spearman Rank Test||-0.15|