iPath US Risk Analysis And Volatility

STPP -- USA Etf  

USD 29.80  0.29  0.01%

Macroaxis considers iPath US to be not too volatile. iPath US Treasury shows Sharpe Ratio of -0.0206 which attests that the etf had -0.0206% 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-eight 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 0.5997 and Mean Deviation of 0.7333 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

iPath US Market Sensitivity

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.
2 Months Beta |Analyze iPath US Treasury Demand Trend
Check current 30 days iPath US correlation with market (DOW)
β = -0.1223

iPath US Central Daily Price Deviation

iPath US Treasury Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. iPath US Treasury Average Price is the average of the sum of open, high, low and close daily prices of a bar. It can be used to smooth an indicator that normally takes just the closing price as input. View also all equity analysis or get more info about average price price transform indicator.

iPath US Projected Return Density Against Market

Given the investment horizon of 30 days, iPath US Treasury Steepener ETN has beta of -0.1223 . This entails as returns on benchmark increase, returns on holding iPath US are expected to decrease at a much smaller rate. During bear market, however, iPath US Treasury Steepener ETN is likely to outperform the market. Additionally, The company has a negative alpha implying that the risk taken by holding this equity is not justified. iPath US Treasury is significantly underperforming DOW.
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of iPath US is -4861.42. The daily returns are destributed with a variance of 1.24 and standard deviation of 1.11. The mean deviation of iPath US Treasury Steepener ETN is currently at 0.78. For similar time horizon, the selected benchmark (DOW) has volatility of 1.94
α
Alpha over DOW
=0.08
β
Beta against DOW=0.12
σ
Overall volatility
=1.11
Ir
Information ratio =0.01

iPath US Return Volatility

the ETF inherits 1.1126% risk (volatility on return distribution) over the 30 days horizon. the entity inherits 1.9932% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath US Volatility Factors

60 Days Market Risk

Not too volatile

Chance of Distress in 24 months

Above average

60 Days Economic Sensitivity

Moves indifferently to market moves

Investment Outlook

iPath US Investment Opportunity

DOW has a standard deviation of returns of 1.99 and is 1.79 times more volatile than iPath US Treasury Steepener ETN. 10% of all equities and portfolios are less risky than iPath US. Compared to the overall equity markets, volatility of historical daily returns of iPath US Treasury Steepener ETN is lower than 10 (%) of all global equities and portfolios over the last 30 days. Use iPath US Treasury Steepener ETN to enhance returns of your portfolios. The etf experiences normal upward fluctuation. Check odds of iPath US to be traded at $31.29 in 30 days. . 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.

iPath US correlation with market

correlation synergy
Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath US Treasury Steepener ET and equity matching DJI index in the same portfolio.

iPath US Volatility Indicators

iPath US Treasury Steepener ETN Current Risk Indicators

Also please take a look at World Market Map. Please also try Chance of Distress module to get analysis of equity chance of financial distress in the next 2 years.
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