iPath Pure Beta Backtested Returns
We consider iPath Pure not very risky. iPath Pure Beta
shows Sharpe Ratio of 0.0742 which attests that iPath Pure Beta
had 0.0742% 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 (2.44) and Mean Deviation of 0.9422 to validate if risk estimate we provide are consistent with the epected return of 0.0955%. The entity maintains market beta of -0.1046 which attests that as returns on market increase, returns on owning iPath Pure are expected to decrease at a much smaller rate. During bear market, iPath Pure is likely to outperform the market.. 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 0.0955% will be sustainable into the future.
|15 days auto-correlation|| 0.59 |
iPath Pure Beta Crude Oil ETN has modest predictability. Overlapping area represents the amount of predictability between iPath Pure time series from September 18, 2017 to October 3, 2017 and October 3, 2017 to October 18, 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 0.59 indicates that roughly 59.0% of current iPath Pure price fluctuation can be explain by its past prices.
|Correlation Coefficient|| 0.59|
|Spearman Rank Test|| 0.89|
|Price Variance|| 0.03|
|Lagged Price Variance|| 0.03|
iPath Pure Lagged Returns