iPath Pure Risk Analysis And Volatility Evaluation

BCM -- USA Etf  

USD 28.70  0.08  0.27%

Macroaxis considers iPath Pure to be not too risky. iPath Pure Beta shows Sharpe Ratio of -0.1432 which attests that iPath Pure Beta had -0.1432% 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 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 0.66 and Mean Deviation of 0.5961 to validate risk estimate we provide.
 Time Horizon     30 Days    Login   to change

iPath Pure Market Sensitivity

As returns on market increase, iPath Pure returns are expected to increase less than the market. However during bear market, the loss on holding iPath Pure will be expected to be smaller as well.
One Month Beta |Analyze iPath Pure Beta Demand Trend
Check current 30 days iPath Pure correlation with market (DOW)
β = 0.1998
iPath Pure Small 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.

Projected Return Density Against Market

Considering 30-days investment horizon, iPath Pure has beta of 0.1998 . This suggests as returns on market go up, iPath Pure average returns are expected to increase less than the benchmark. However during bear market, the loss on holding iPath Pure Beta Broad Commodity ETN will be expected to be much smaller as well. 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 -698.24. The daily returns are destributed with a variance of 0.65 and standard deviation of 0.8. The mean deviation of iPath Pure Beta Broad Commodity ETN is currently at 0.61. For similar time horizon, the selected benchmark (DOW) has volatility of 0.59
α
Alpha over DOW
=0.16
β
Beta against DOW=0.20
σ
Overall volatility
=0.80
Ir
Information ratio =0.33

Actual Return Volatility

iPath Pure Beta Broad Commodity ETN has volatility of 0.8044% on return distribution over 30 days investment horizon. DOW inherits 0.5855% 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

Almost imposible

30 Days Economic Sensitivity

Barely shadows market

Investment Outlook

iPath Pure Investment Opportunity
iPath Pure Beta Broad Commodity ETN has a volatility of 0.8 and is 1.36 times more volatile than DOW. 7% 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 7 (%) of all global equities and portfolios over the last 30 days. Use iPath Pure Beta Broad Commodity ETN to protect against small markets fluctuations. The etf experiences normal downward trend and little activity. Check odds of iPath Pure to be traded at $28.41 in 30 days. As returns on market increase, iPath Pure returns are expected to increase less than the market. However during bear market, the loss on holding iPath Pure will be expected to be smaller as well.

iPath Pure correlation with market

Average 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.
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