We consider iPath Pure not too risky. iPath Pure Beta shows Sharpe Ratio of 0.4325 which attests that iPath Pure Beta had 0.4325% 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 check out iPath Pure Beta Market Risk Adjusted Performance of
(0.71) and Mean Deviation of 0.2764 to validate if risk estimate we provide are consistent with the epected return of 0.1247%.
|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 = -0.3343
iPath Pure Beta Technical Analysis
Projected Return Density Against MarketConsidering 30-days investment horizon, iPath Pure Beta Broad Commodity ETN has beta of -0.3343 . 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 0.3131 implying that it can potentially generate 0.3131% 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 231.2. The daily returns are destributed with a variance of 0.08 and standard deviation of 0.29. The mean deviation of iPath Pure Beta Broad Commodity ETN is currently at 0.22. For similar time horizon, the selected benchmark (DOW) has volatility of 0.44