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 Trend
Check current 30 days iPath US correlation with market (DOW)
β = 0.1351
iPath US Small BetaiPath US Treasury Beta Legend

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 
      Returns 
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
α
Alpha over DOW
=0.19
β
Beta against DOW=0.14
σ
Overall volatility
=0.78
Ir
Information ratio =0.31

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.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath US Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

Close to average

30 Days Economic Sensitivity

Barely shadows market

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 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 Fundamentals Comparison module to compare fundamentals across multiple equities to find investing opportunities.
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