iPath Pure Beta Backtested Returns
We consider iPath Pure not too volatile. iPath Pure Beta
shows Sharpe Ratio of 0.0747 which attests that iPath Pure Beta
had 0.0747% 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 Pure Beta which you can use to evaluate future volatility of the etf. Please check out iPath Pure Beta Market Risk Adjusted Performance
of (0.4) and Mean Deviation of 0.8739 to validate if risk estimate we provide are consistent with the epected return of 0.0942%. The entity maintains market beta of 0.1513 which attests that as returns on market increase, iPath Pure returns are expected to increase less than the market. However during bear market, the loss on holding iPath Pure will be expected to be smaller as well.. Although it is extremely important to respect iPath Pure Beta 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 Pure Beta technical indicators you can presently evaluate if the expected return of 0.0942% will be sustainable into the future.
|15 days auto-correlation||(0.92) |
Near perfect reversele predictability
iPath Pure Beta Crude Oil ETN has near perfect reversele predictability. Overlapping area represents the amount of predictability between iPath Pure time series from November 15, 2017 to November 30, 2017 and November 30, 2017 to December 15, 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 Pure Beta price movement. The serial correlation of -0.92 indicates that approximately 92.0% of current iPath Pure price fluctuation can be explain by its past prices. Given that iPath Pure Beta Crude Oil ETN has negative autocorrelation for selected time horizon, investors may consider taking a contrarian position regarding future price movement of iPath Pure for similar time interval.
|Correlation Coefficient|| -0.92|
|Spearman Rank Test|| -0.09|
|Price Variance|| 0.06|
|Lagged Price Variance|| 0.07|
iPath Pure Lagged Returns