iPath US Risk Analysis And Volatility Evaluation |
| STPP -- USA Etf | USD 30.70 0.30 0.99% |
We consider iPath US not too risky. iPath US Treasury shows Sharpe Ratio of 0.2355 which attests that iPath US Treasury had 0.2355% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of an etf is to use all available market data together with etf specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for iPath US Treasury which you can use to evaluate future volatility of the etf. Please check out iPath US Treasury Market Risk Adjusted Performance of 1.36 and Mean Deviation of 0.5096 to validate if risk estimate we provide are consistent with the epected return of 0.1838%.
| Horizon | 30 Days Login to change |
iPath US Market Sensitivity
| As returns on market increase, iPath US returns are expected to increase less than the market. However during bear market, the loss on holding iPath US will be expected to be smaller as well.One Month Beta |Analyze iPath US Treasury Demand TrendCheck current 30 days iPath US correlation with market (DOW) β = 0.1351 |   |
iPath US Treasury Technical Analysis
Transformation |
The output start index for this execution was zero with a total number of output elements of seventeen. 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 has beta of 0.1351 . This entails as returns on market go up, iPath US average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iPath US Treasury Steepener ETN will be expected to be much smaller as well. Moreover, iPath US Treasury Steepener ETN has an alpha of 0.1907 implying that it can potentially generate 0.1907% excess return over DOW after adjusting for the inherited market risk (beta). Predicted Return Density |
Given the investment horizon of 30 days, the coefficient of variation of iPath US is 424.55. The daily returns are destributed with a variance of 0.61 and standard deviation of 0.78. The mean deviation of iPath US Treasury Steepener ETN is currently at 0.49. For similar time horizon, the selected benchmark (DOW) has volatility of 1.08
iPath US Return Volatility
iPath US Treasury Steepener ETN inherits 0.7802% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 1.0565% risk (volatility on return distribution) over the 30 days horizon.Market Risk Breakdown
iPath US Volatility Factors
Investment Outlook
iPath US Investment Opportunity
DOW has a standard deviation of returns of 1.06 and is 1.36 times more volatile than iPath US Treasury Steepener ETN. 7% 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 7 (%) 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 moderate upward volatility. Check odds of iPath US to be traded at $33.77 in 30 days. As returns on market increase, iPath US returns are expected to increase less than the market. However during bear market, the loss on holding iPath US will be expected to be smaller as well.
iPath US correlation with market
Average diversificationOverlapping 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
| Risk Adjusted Performance | 0.2569 | ||
| Market Risk Adjusted Performance | 1.36 | ||
| Mean Deviation | 0.5096 | ||
| Coefficient Of Variation | 415.1 | ||
| Standard Deviation | 0.7975 | ||
| Variance | 0.6361 | ||
| Information Ratio | 0.308 |
iPath US Pair Correlation
iPath US Suggested Diversification Pairs
Also please take a look at World Market Map. Please also try Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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