iPath B Backtesting

OILB -- USA Etf  

USD 72.94  0.21  0.29%

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

iPath B 'What if' Analysis

August 23, 2018
No Change 0.00  0.0%
In 31 days
September 22, 2018
If you would invest  0.00  in iPath B on August 23, 2018 and sell it all today you would earn a total of 0.00 from holding iPath B SP GSCI Crude Oil TR ETN or generate 0.0% return on investment in iPath B over 30 days. iPath B is related to or competes with PowerShares, ELEMENTS Rogers, Alcoa, Coca Cola, HP, and ATT. The investment seeks to provide investors with exposure to the performance of the SP GSCI Crude Oil Total Return Index

iPath B Upside/Downside Indicators

Downside Deviation0.9919
Information Ratio0.013056
Maximum Drawdown5.49
Value At Risk1.13
Potential Upside2.92

iPath B Market Premium Indicators

Risk Adjusted Performance0.0654
Jensen Alpha0.0809
Total Risk Alpha0.30
Sortino Ratio0.016202
Treynor Ratio0.3605

iPath B SP Backtested Returns

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.
Advice Volatility Trend Exposure Correlations
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.
Correlation Coefficient0.07
Spearman Rank Test-0.15
Residual Average0.0
Price Variance1.34

iPath B SP lagged returns against current returns

 Current and Lagged Values 

iPath B regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iPath B Lagged Returns

 Regressed Prices 

Current Sentiment - OILB

iPath B SP Investor Sentiment

Macroaxis portfolio users are evenly split in their perspective on investing in iPath B SP GSCI Crude Oil TR ETN. What is your take regarding investing in iPath B SP GSCI Crude Oil TR ETN? Are you bullish or bearish?
50% Bullish
50% Bearish

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Additionally take a look at iPath B Hype Analysis, iPath B Correlation, Portfolio Optimization, iPath B Volatility as well as analyze iPath B Alpha and Beta and iPath B Performance. Please also try Watchlist Optimization module to optimize watchlists to build efficient portfolio or rebalance existing positions based on mean-variance optimization algorithm.
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