iPath US Backtesting

STPP -- USA Etf  

USD 28.58  0.60  2.06%

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

October 19, 2018
0.00
No Change 0.00  0.0%
In 2 months and 1 day
December 18, 2018
0.00
If you would invest  0.00  in iPath US on October 19, 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 60 days. iPath US is related to or competes with ProShares UltraShort, VelocityShares Short, Pfizer, Caterpillar, Travelers Companies, HP, and Merck. The investment seeks to provide investors with exposure to the Barclays US Treasury 2Y10Y Yield Curve Index

iPath US Upside/Downside Indicators

Information Ratio0.1049
Maximum Drawdown4.43
Value At Risk(1.86)
Potential Upside1.66
  

iPath US Market Premium Indicators

Risk Adjusted Performance(0.07)
Jensen Alpha(0.10)
Total Risk Alpha0.0607
Treynor Ratio0.2375

iPath US Treasury Backtested Returns

Macroaxis considers iPath US to be not too risky. iPath US Treasury shows Sharpe Ratio of -0.1058 which attests that iPath US Treasury had -0.1058% of return per unit of risk over the last 2 months. 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 US Treasury 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 US Treasury Market Risk Adjusted Performance of 0.2475 and Mean Deviation of 0.612 to validate risk estimate we provide. The entity maintains market beta of -0.2561 which attests that as returns on market increase, returns on owning iPath US are expected to decrease at a much smaller rate. During bear market, iPath US is likely to outperform the market.. Even though it is essential to pay attention to iPath US Treasury 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 US Treasury exposes twenty-one different technical indicators which can help you to evaluate its performance.
Advice Volatility Trend Exposure Correlations
15 days auto-correlation 0.44 
correlation synergy

Average predictability

iPath US Treasury Steepener ETN has average predictability. Overlapping area represents the amount of predictability between iPath US time series from October 19, 2018 to November 18, 2018 and November 18, 2018 to December 18, 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 0.44 indicates that just about 44.0% of current iPath US price fluctuation can be explain by its past prices.
Correlation Coefficient0.44
Spearman Rank Test0.45
Residual Average0.0
Price Variance0.26

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 

Current Sentiment - STPP

iPath US Treasury Investor Sentiment

Most of Macroaxis users are at this time bullish on iPath US Treasury Steepener ETN. What is your take regarding investing in iPath US Treasury Steepener ETN? Are you bullish or bearish?
Bullish
Bearish
98% Bullish
2% Bearish
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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 World Markets Correlation module to find global opportunities by holding instruments from different markets.
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