Macroaxis considers iPath Pure not too risky given 1 month investment horizon. iPath Pure Beta shows Sharpe Ratio of 0.7381 which attests that iPath Pure Beta had 0.7381% of return per unit of risk over the last 1 month. Our philosophy towards determining volatility of a etf is to use all available market data together with company specific technical indicators that cannot be diversified away. We have found twenty-one technical indicators for iPath Pure Beta which you can use to evaluate future volatility of the etf. Please utilize iPath Pure Beta Market Risk Adjusted Performance of
(1.1) and Mean Deviation of 0.255 to validate if our risk estimates are consistent with your expectations.
|Time 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 TrendCheck current 30 days iPath Pure correlation with market (DOW)|
β = -0.2614
iPath Pure Beta Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, iPath Pure Beta Broad Commodity ETN has beta of -0.2614 . 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 0.3481 implying that it can potentially generate 0.3481% excess return over DOW after adjusting for the inherited market risk (beta).
Considering 30-days investment horizon, the coefficient of variation of iPath Pure is 135.49. The daily returns are destributed with a variance of 0.16 and standard deviation of 0.39. The mean deviation of iPath Pure Beta Broad Commodity ETN is currently at 0.28. For similar time horizon, the selected benchmark (DOW) has volatility of 0.39