iPath Pure Backtesting

OLEM -- USA Etf  

USD 20.06  0.42  2.05%

With this equity back-testing module your can estimate the performance of a buy and hold strategy of iPath Pure Beta Crude Oil ETN and determine expected loss or profit from investing in iPath Pure over given investment horizon. Additionally take a look at iPath Pure Hype Analysis, iPath Pure Correlation, Portfolio Optimization, iPath Pure Volatility as well as analyze iPath Pure Alpha and Beta and iPath Pure Performance.
 Time Horizon     30 Days    Login   to change

iPath Pure 'What if' Analysis

June 17, 2018
No Change 0.00  0.0%
In 31 days
July 17, 2018
If you would invest  0.00  in iPath Pure on June 17, 2018 and sell it all today you would earn a total of 0.00 from holding iPath Pure Beta Crude Oil ETN or generate 0.0% return on investment in iPath Pure over 30 days. iPath Pure is related to or competes with United States, PowerShares DB, United States, PowerShares DB, VelocityShares 3x, VelocityShares 3x, and ProShares Trust. The investment seeks to provide investors with exposure to the Barclays WTI Crude Oil Pure Beta Total Return Index

iPath Pure Upside/Downside Indicators

Downside Deviation2.76
Maximum Drawdown9.15
Value At Risk3.01
Potential Upside2.19

iPath Pure Market Premium Indicators

Risk Adjusted Performance0.01

iPath Pure Beta Backtested Returns

Macroaxis considers iPath Pure not very risky given 1 month investment horizon. iPath Pure Beta shows Sharpe Ratio of 0.1065 which attests that iPath Pure Beta had 0.1065% 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 technical indicators for iPath Pure Beta which you can use to evaluate future volatility of the etf. Please utilize iPath Pure Beta Mean Deviation of 1.21 and Downside Deviation of 2.76 to validate if our risk estimates are consistent with your expectations. The entity maintains market beta of 0.0 which attests that the returns on MARKET and iPath Pure are completely uncorrelated. 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 0.2222% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.30 

Below average predictability

iPath Pure Beta Crude Oil ETN has below average predictability. Overlapping area represents the amount of predictability between iPath Pure time series from June 17, 2018 to July 2, 2018 and July 2, 2018 to July 17, 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 Pure Beta price movement. The serial correlation of 0.3 indicates that nearly 30.0% of current iPath Pure price fluctuation can be explain by its past prices.
Correlation Coefficient 0.3
Spearman Rank Test 0.19
Price Variance 0.09
Lagged Price Variance 0.41

iPath Pure Beta lagged returns against current returns

 Current and Lagged Values 

iPath Pure regressed lagged prices vs. current prices

 Current vs Lagged Prices 

iPath Pure Lagged Returns

 Regressed Prices 

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Additionally take a look at iPath Pure Hype Analysis, iPath Pure Correlation, Portfolio Optimization, iPath Pure Volatility as well as analyze iPath Pure Alpha and Beta and iPath Pure Performance. Please also try Headlines Timeline module to stay connected to all market stories and filter out noise. drill down to analyze hype elasticity.