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 TrendCheck current 30 days iPath US correlation with market (DOW)|
β = -0.1223
iPath US Central Daily Price Deviation
iPath US Treasury Technical Analysis
iPath US Projected Return Density Against MarketGiven 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
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
|Alpha over DOW||=||0.08|
|Beta against DOW||=||0.12|
iPath US Return Volatilitythe 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.
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