iPath Pure Risk Analysis And Volatility Evaluation

BCM -- USA Etf  

USD 29.54  0.06  0.20%

We consider iPath Pure not too risky. iPath Pure Beta shows Sharpe Ratio of 0.1383 which attests that iPath Pure Beta had 0.1383% 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-eight technical indicators for iPath Pure Beta which you can use to evaluate future volatility of the etf. Please check out iPath Pure Beta Market Risk Adjusted Performance of 0.33, Mean Deviation of 0.4357 and Downside Deviation of 0.6393 to validate if risk estimate we provide are consistent with the epected return of 0.0798%.
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.
One Month Beta |Analyze iPath Pure Beta Demand Trend
Check current 30 days iPath Pure correlation with market (DOW)
β = -0.2127
iPath Pure Almost negative betaiPath Pure Beta Beta Legend

iPath Pure Beta Technical Analysis

Transformation
The output start index for this execution was zero with a total number of output elements of seventeen. 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 average price price transform indicator.

iPath Pure Projected Return Density Against Market

Considering 30-days investment horizon, iPath Pure Beta Broad Commodity ETN has beta of -0.2127 . 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. Moreover, iPath Pure Beta Broad Commodity ETN has an alpha of 0.0842 implying that it can potentially generate 0.0842% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Considering 30-days investment horizon, the coefficient of variation of iPath Pure is 723.3. The daily returns are destributed with a variance of 0.33 and standard deviation of 0.58. The mean deviation of iPath Pure Beta Broad Commodity ETN is currently at 0.45. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44
α
Alpha over DOW
=0.08
β
Beta against DOW=0.21
σ
Overall volatility
=0.58
Ir
Information ratio =0.03

iPath Pure Return Volatility

iPath Pure Beta Broad Commodity ETN has volatility of 0.577% on return distribution over 30 days investment horizon. DOW inherits 0.4495% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath Pure Volatility Factors

30 Days Market Risk

Not too risky

Chance of Distress in 24 months

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

iPath Pure Investment Opportunity

iPath Pure Beta Broad Commodity ETN has a volatility of 0.58 and is 1.29 times more volatile than DOW. 5% 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 5 (%) 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 normal upward fluctuation. Check odds of iPath Pure to be traded at $31.02 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

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 Portfolio Diagnostics module to use generated alerts and portfolio events aggregator to diagnose current holdings.
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