iPath Series Backtesting

iPath Series B SP GSCI Crude Oil -- USA Etf  

USD 62.88  0.83  1.34%

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
 Time Horizon     30 Days    Login   to change

iPath Series 'What if' Analysis

January 25, 2018
No Change 0.00  0.0%
In 31 days
February 24, 2018
If you would invest  0.00  in iPath Series on January 25, 2018 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

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.
Advice Volatility Trend Exposure Correlations
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

 Regressed Prices 

iPath Series Performance vs DOW

The median price of iPath Series for the period between Thu, Jan 25, 2018 and Sat, Feb 24, 2018 is 62.4678 with a coefficient of variation of 3.23. The daily time series for the period is distributed with a sample standard deviation of 2.0, arithmetic mean of 62.02, and mean deviation of 1.66. The Etf received some media coverage during the period.
Price Growth (%)  
Horizons Gunning to Retake Third Spot From the Walmart of ET...02/12/2018