iPath US Risk Analysis

iPath US Treasury Steepener ETN -- USA Etf  

USD 30.31  0.1  0.33%

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 Trend
Check current 30 days iPath US correlation with market (DOW)
β = -0.3591
iPath US Almost negative betaiPath US Treasury Beta Legend

iPath US Treasury Technical Analysis

Transformation
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Projected Return Density Against Market

Given 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
 Predicted Return Density 
      Returns 
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
α
Alpha over DOW
=0.02
β
Beta against DOW=0.36
σ
Overall volatility
=0.83
Ir
Information ratio =0.28

Actual Return Volatility

iPath US Treasury Steepener ETN inherits 0.8261% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.4629% 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

Largest Trends

iPath US Largest Period Trend
 30.2 
  
 30.22 
0.02  0.066225%
Lowest period price (30 days)
 31.11 
  
 31.11 
0.00  0.00%
Highest period price (30 days)

Investment Outlook

iPath US Investment Opportunity
iPath US Treasury Steepener ETN has a volatility of 0.83 and is 1.8 times more volatile than DOW. 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 protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iPath US to be traded at $30.01 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

Good 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.

Volatility Indicators

iPath US Current Risk Indicators