iPath Pure Risk Analysis And Volatility Evaluation

BCM -- USA Etf  

USD 26.98  0.17  0.63%

Macroaxis considers iPath Pure to be not too risky. iPath Pure Beta shows Sharpe Ratio of -0.2707 which attests that iPath Pure Beta had -0.2707% of return per unit of risk over the last 2 months. 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 Pure Beta 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 Pure Beta Market Risk Adjusted Performance of 9.25 and Mean Deviation of 0.6656 to validate risk estimate we provide.
Horizon     30 Days    Login   to change

iPath Pure Market Sensitivity

As returns on market increase, returns on owning iPath Pure are expected to decrease at a much smaller rate. During bear market, iPath Pure is likely to outperform the market.
2 Months Beta |Analyze iPath Pure Beta Demand Trend
Check current 30 days iPath Pure correlation with market (DOW)
β = -0.023

iPath Pure Central Daily Price Deviation

iPath Pure Beta Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of thirty-nine. iPath Pure Beta 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 avgprice price transform indicator.

iPath Pure Projected Return Density Against Market

Considering 30-days investment horizon, iPath Pure Beta Broad Commodity ETN has beta of -0.023 . This suggests as returns on benchmark increase, returns on holding iPath Pure are expected to decrease at a much smaller rate. During bear market, however, iPath Pure Beta Broad Commodity ETN is likely to outperform the market. Additionally, iPath Pure Beta Broad Commodity 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 
Considering 30-days investment horizon, the coefficient of variation of iPath Pure is -369.38. The daily returns are destributed with a variance of 0.87 and standard deviation of 0.93. The mean deviation of iPath Pure Beta Broad Commodity ETN is currently at 0.7. For similar time horizon, the selected benchmark (DOW) has volatility of 1.29
α
Alpha over DOW
=0.22
β
Beta against DOW=0.02
σ
Overall volatility
=0.93
Ir
Information ratio =0.11

iPath Pure Return Volatility

iPath Pure Beta Broad Commodity ETN has volatility of 0.9333% on return distribution over 30 days investment horizon. DOW inherits 1.2765% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath Pure Volatility Factors

60 Days Market Risk

Not too risky

Chance of Distress in 24 months

Below average

60 Days Economic Sensitivity

Moves indifferently to market move

Investment Outlook

iPath Pure Investment Opportunity

DOW has a standard deviation of returns of 1.28 and is 1.38 times more volatile than iPath Pure Beta Broad Commodity ETN. 8% of all equities and portfolios are less risky than iPath Pure. Compared to the overall equity markets, volatility of historical daily returns of iPath Pure Beta Broad Commodity ETN is lower than 8 (%) of all global equities and portfolios over the last 30 days. Use iPath Pure Beta Broad Commodity ETN to enhance returns of your portfolios. The etf experiences moderate upward volatility. Check odds of iPath Pure to be traded at $29.68 in 30 days. As returns on market increase, returns on owning iPath Pure are expected to decrease at a much smaller rate. During bear market, iPath Pure is likely to outperform the market.

iPath Pure correlation with market

correlation synergy
Good diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath Pure Beta Broad Commodit and equity matching DJI index in the same portfolio.

iPath Pure Volatility Indicators

iPath Pure Beta Broad Commodity ETN Current Risk Indicators

Check also Trending Equities. Please also try Bollinger Bands module to use bollinger bands indicator to analyze target price for a given investing horizon.
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