iPath Series Backtesting

iPath Series B SP GSCI Crude Oil -- USA Etf  

USD 56.28  0.0035  0.0062%

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

iPath Series 'What if' Analysis

November 13, 2017
No Change 0.00  0.0%
In 31 days
December 13, 2017
If you would invest  0.00  in iPath Series on November 13, 2017 and sell it all today you would earn a total of 0.00 from holding iPath Series B SP GSCI Crude Oil or generate 0.0% return on investment in iPath Series over 30 days. iPath Series is related to or competes with United States, iPath SP, United States, PowerShares DB, PowerShares DB, and United States. The investment seeks to provide investors with exposure to the performance of the SP GSCI Crude Oil Total Return Index

iPath Series Upside/Downside Indicators


iPath Series Market Premium Indicators

iPath Series B lagged returns against current returns

 Current and Lagged Values 

iPath Series regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iPath Series B Backtested Returns

We consider iPath Series not too risky. iPath Series B shows Sharpe Ratio of 0.0262 which attests that iPath Series B had 0.0262% 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. We have found twenty-one technical indicators for iPath Series B which you can use to evaluate future volatility of the etf. Please check out iPath Series B Market Risk Adjusted Performance of (0.38) and Mean Deviation of 0.628 to validate if risk estimate we provide are consistent with the epected return of 0.0138%. The entity maintains market beta of -0.6385 which attests that as returns on market increase, returns on owning iPath Series are expected to decrease at a much smaller rate. During bear market, iPath Series is likely to outperform the market.. Although it is extremely important to respect iPath Series B 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 Series B technical indicators you can presently evaluate if the expected return of 0.0138% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation(0.49) 

Modest reverse predictability

iPath Series B SP GSCI Crude Oil has modest reverse predictability. Overlapping area represents the amount of predictability between iPath Series time series from November 13, 2017 to November 28, 2017 and November 28, 2017 to December 13, 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 Series B price movement. The serial correlation of -0.49 indicates that about 49.0% of current iPath Series price fluctuation can be explain by its past prices. Given that iPath Series B SP GSCI Crude Oil has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iPath Series for similar time interval.
Correlation Coefficient -0.49
Spearman Rank Test 0.1
Price Variance 0.03
Lagged Price Variance 0.11

iPath Series Lagged Returns

 Regressed Prices 

iPath Series Performance vs DOW

The median price of iPath Series for the period between Mon, Nov 13, 2017 and Wed, Dec 13, 2017 is 56.31 with a coefficient of variation of 2.02. The daily time series for the period is distributed with a sample standard deviation of 1.13, arithmetic mean of 55.92, and mean deviation of 0.77. The Etf received some media coverage during the period.
Price Growth (%)  
SandP GSCI Crude Oil TR Ipath B ETN Volume Moving Average Cl...11/30/2017