iPath B Backtesting

OILB -- USA Etf  

USD 68.54  0.0009  0.0013%

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.
 Time Horizon     30 Days    Login   to change

iPath B 'What if' Analysis

May 26, 2018
No Change 0.00  0.0%
In 31 days
June 25, 2018
If you would invest  0.00  in iPath B on May 26, 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 Cisco Systems, Exxon, Pfizer, United Technologies, B of A, Walmart, and 3M COMPANY. iPath B SP GSCI Crude Oil TR ETN is USA based ETF administrated by null

iPath B Upside/Downside Indicators

Information Ratio0.08
Maximum Drawdown6.22
Value At Risk3.36
Potential Upside2.86

iPath B Market Premium Indicators

Risk Adjusted Performance0.01

iPath B SP Backtested Returns

We consider iPath B not too risky. iPath B SP shows Sharpe Ratio of 0.1089 which attests that iPath B SP had 0.1089% 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 B SP which you can use to evaluate future volatility of the etf. Please check out iPath B SP Mean Deviation of 1.52 to validate if risk estimate we provide are consistent with the epected return of 0.1987%. The entity maintains market beta of 0.0 which attests that the returns on MARKET and iPath B are completely uncorrelated. 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 0.1987% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.39 

Below average predictability

iPath B SP GSCI Crude Oil TR ETN has below average predictability. Overlapping area represents the amount of predictability between iPath B time series from May 26, 2018 to June 10, 2018 and June 10, 2018 to June 25, 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 0.39 indicates that just about 39.0% of current iPath B price fluctuation can be explain by its past prices.
Correlation Coefficient 0.39
Spearman Rank Test -0.21
Price Variance 1.23
Lagged Price Variance 0.92

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 

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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 Volatility Analysis module to get historical volatility and risk analysis based on latest market data.