iPath US Risk Analysis And Volatility Evaluation

STPP -- USA Etf  

USD 29.90  0.20  0.66%

Macroaxis considers iPath US to be unknown risk. iPath US Treasury shows Sharpe Ratio of -0.2852 which attests that iPath US Treasury had -0.2852% of return per unit of risk over the last 1 month. 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 Mean Deviation of 0.486 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

iPath US Treasury Technical Analysis

Transformation
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Projected Return Density Against Market

Given the investment horizon of 30 days, iPath US has beta of 0.0 . This entails unless we do not have required data, the returns on DOW and iPath US are completely uncorrelated. Furthermore, iPath US Treasury Steepener ETNIt does not look like iPath US alpha can have any bearing on the equity current valuation.
Given the investment horizon of 30 days, the coefficient of variation of iPath US is -350.62. The daily returns are destributed with a variance of 0.31 and standard deviation of 0.56. The mean deviation of iPath US Treasury Steepener ETN is currently at 0.38. For similar time horizon, the selected benchmark (DOW) has volatility of 0.0
α
Alpha over DOW
=0.00
β
Beta against DOW=0.00
σ
Overall volatility
=0.56
Ir
Information ratio =0.00

Actual Return Volatility

iPath US Treasury Steepener ETN inherits 0.5557% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.0% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath US Volatility Factors

30 Days Market Risk

Unknown risk

Chance of Distress in 24 months

Unknown Distress

30 Days Economic Sensitivity

Unaffected

Investment Outlook

iPath US Investment Opportunity
iPath US Treasury Steepener ETN has a volatility of 0.56 and is 9.223372036854776E16 times more volatile than DOW. 5% 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 5 (%) of all global equities and portfolios over the last 30 days.
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