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.
|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