iPath Series B Backtested Returns
Macroaxis considers iPath Series to be not too risky. iPath Series B
shows Sharpe Ratio of -0.0714 which attests that iPath Series B
had -0.0714% of return per unit of risk over the last 1 month. Macroaxis philosophy towards determining risk of any etf is to look at both systematic and un-systematic factors of the business, including all available market data and technical indicators
. iPath Series B exposes twenty-one different technical indicators
which can help you to evaluate volatility that cannot be diversified away. Please be advised to check out iPath Series B Market Risk Adjusted Performance
of 0.14, Mean Deviation of 1.16 and Downside Deviation of 2.12 to validate risk estimate we provide. The entity maintains market beta of -0.2204 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.. Even though it is essential to pay attention to iPath Series B historical price patterns, it is always good to be careful when utilizing equity current price history. Macroaxis philosophy towards determining future performance of any etf is to check both, its past performance charts as well as the business as a whole, including all available technical indicators. iPath Series B exposes twenty-one different technical indicators which can help you to evaluate its performance.
|15 days auto-correlation||(0.81) |
Excellent reverse predictability
iPath Series B SP GSCI Crude Oil has excellent reverse predictability. Overlapping area represents the amount of predictability between iPath Series time series from January 25, 2018 to February 9, 2018 and February 9, 2018 to February 24, 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 Series B price movement. The serial correlation of -0.81 indicates that around 81.0% 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|| -0.81|
|Spearman Rank Test|| -0.76|
|Price Variance|| 2.5|
|Lagged Price Variance|| 1.3|
iPath Series Lagged Returns