iPath US Backtesting

STPP -- USA Etf  

USD 30.31  0.86  2.92%

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

iPath US 'What if' Analysis

August 26, 2018
0.00
No Change 0.00  0.0%
In 31 days
September 25, 2018
0.00
If you would invest  0.00  in iPath US on August 26, 2018 and sell it all today you would earn a total of 0.00 from holding iPath US Treasury Steepener ETN or generate 0.0% return on investment in iPath US over 30 days. iPath US is related to or competes with ProShares UltraShort, ProShares UltraShort, ProShares Short, ProShares Ultra, Chevron, Intel, and B of A. The investment seeks to provide investors with exposure to the Barclays US Treasury 2Y10Y Yield Curve Index

iPath US Upside/Downside Indicators

Information Ratio0.08
Maximum Drawdown0.9456
Potential Upside0.4091
  

iPath US Market Premium Indicators

Risk Adjusted Performance0.0808
Jensen Alpha0.0101
Total Risk Alpha0.11
Treynor Ratio0.1658

iPath US Treasury Backtested Returns

We consider iPath US not too risky. iPath US Treasury shows Sharpe Ratio of 0.2357 which attests that iPath US Treasury had 0.2357% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for iPath US Treasury which you can use to evaluate future volatility of the etf. Please check out iPath US Treasury Market Risk Adjusted Performance of 0.1758 and Mean Deviation of 0.283 to validate if risk estimate we provide are consistent with the epected return of 0.1622%. The entity maintains market beta of 0.5931 which attests that as returns on market increase, iPath US returns are expected to increase less than the market. However during bear market, the loss on holding iPath US will be expected to be smaller as well.. Although it is extremely important to respect iPath US Treasury 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 US Treasury technical indicators you can presently evaluate if the expected return of 0.1622% will be sustainable into the future.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.00 

No correlation between past and present

iPath US Treasury Steepener ETN has no correlation between past and present. Overlapping area represents the amount of predictability between iPath US time series from August 26, 2018 to September 10, 2018 and September 10, 2018 to September 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 US Treasury price movement. The serial correlation of 0.0 indicates that just 0.0% of current iPath US price fluctuation can be explain by its past prices.
Correlation Coefficient0.0
Spearman Rank Test1.0
Residual Average0.0
Price Variance0.13

iPath US Treasury lagged returns against current returns

 Current and Lagged Values 
      Timeline 

iPath US regressed lagged prices vs. current prices

 Current vs Lagged Prices 
      Timeline 

iPath US Lagged Returns

 Regressed Prices 
      Timeline 

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Also please take a look at iPath US Hype Analysis, iPath US Correlation, Portfolio Optimization, iPath US Volatility as well as analyze iPath US Alpha and Beta and iPath US Performance. Please also try Premium Stories module to follow macroaxis premium stories from verified contributors across different equity types, categories and coverage scope.
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