Macroaxis considers iPath US to be not too volatile. iPath US Treasury shows Sharpe Ratio of -0.0712 which attests that iPath US Treasury had -0.0712% 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-six 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
0.72, Mean Deviation of 1.01 and Downside Deviation of 1.75 to validate risk estimate we provide.
|Time 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 TrendCheck current 30 days iPath US correlation with market (DOW)|
β = -0.1065
iPath US Treasury Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath US Treasury Steepener ETN has beta of -0.1065 . 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. Moreover, iPath US Treasury Steepener ETN has an alpha of 0.0724 implying that it can potentially generate 0.0724% excess return over DOW after adjusting for the inherited market risk (beta).
Predicted Return Density