Macroaxis considers iPath US to be unknown risk. iPath US Treasury shows Sharpe Ratio of -0.5774 which attests that iPath US Treasury had -0.5774% 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 Market Risk Adjusted Performance of 0.3148 and Mean Deviation of 0.9619 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.One Month Beta |Analyze iPath US Treasury Demand TrendCheck current 30 days iPath US correlation with market (DOW)|
β = -0.3591
iPath US Treasury Technical Analysis
Projected Return Density Against MarketGiven the investment horizon of 30 days, iPath US Treasury Steepener ETN has beta of -0.3591 . 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, iPath US Treasury Steepener ETN has a negative alpha implying that the risk taken by holding this equity is not justified. The company is significantly underperforming DOW
Given the investment horizon of 30 days, the coefficient of variation of iPath US is -173.21. The daily returns are destributed with a variance of 0.68 and standard deviation of 0.83. The mean deviation of iPath US Treasury Steepener ETN is currently at 0.64. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44