iShares 20+ Year Treasury Bond ETF

6m (24w) ahead

Predictive Factors

Causally predictive factors for the value of the selected instrument at the time point 6m (24w) away.

Hong Kong / U.S. Foreign Exchange Rate USDHKD

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Health Care Sector SPDR ETF

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Paychex, Inc. Common Stock

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Take-Two Interactive Software, Inc. Common Stock

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as of

Our Probabilistic Prediction

We train a group of models, each predicting a set of possible outcomes for the time point 6m (24w) away. Below are them pooled together.

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Goodness of Probabilistic Prediction

Test of hypothesis that a sample of the realised probability level is uniformly distributed between 0 and 1 (whitepaper), using significance level 0.001 for the p-value. The user is free to use another significance level e.g. 0.01, 0.05 for the test.

iShares 20+ Year Treasury Bond ETF

🟢 p-value: 0.102 > 0.001

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Trades

Next-Day Position

Each model casts a vote "up", "down" or "undecided" on the direction of change from the calculation time to the time point 6m (24w) away. The votes held over the recent 6m (24w) all concern the next day, so the next-day position is the average of the majority votes as calculated over the last 6m (24w).

% Up % Down % Un­de­cided
iShares 20+ Year Treasury Bond ETF 55% 24% 15%

with respect to the time point respectively,

Time Value
iShares 20+ Year Treasury Bond ETF Tue 2025-02-18 UTC 88.1

Performance of Past Trades

The Sharpe ratio is calculated on returns measured as the difference between values rather than in percentage, assuming zero trading cost.

iShares 20+ Year Treasury Bond ETF
Active Buy-and-Hold
Sharpe ratio
(the higher the better)
- -
Solvency II Value-at-Risk 99.5%
(the lower the better)
8.15 15.13
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