iPath Seasonal Risk Analysis

iPath Seasonal Natural Gas ETN -- USA Etf  

USD 17.42  0.27  1.53%

Macroaxis considers iPath Seasonal to be not too volatile. iPath Seasonal Natural shows Sharpe Ratio of -0.4061 which attests that iPath Seasonal Natural had -0.4061% 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 Seasonal Natural 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 Seasonal Natural Market Risk Adjusted Performance of 0.1243 and Mean Deviation of 0.785 to validate risk estimate we provide.
Investment Horizon     30 Days    Login   to change

iPath Seasonal Market Sensitivity

As returns on market increase, returns on owning iPath Seasonal are expected to decrease by larger amounts. On the other hand, during market turmoil, iPath Seasonal is expected to significantly outperform it.
One Month Beta |Analyze iPath Seasonal Natural Demand Trend
Check current 30 days iPath Seasonal correlation with market (DOW)
β = -1.3017
iPath Seasonal Large Negative BetaiPath Seasonal Natural Beta Legend

Projected Return Density Against Market

Given the investment horizon of 30 days, iPath Seasonal Natural Gas ETN has beta of -1.3017 suggesting as returns on its benchmark rise, returns on holding iPath Seasonal Natural Gas ETN are expected to decrease by similarly larger amounts. On the other hand, during market turmoils, iPath Seasonal is expected to outperform its benchmark. Moreover, iPath Seasonal Natural Gas ETN has an alpha of 0.0125 implying that it can potentially generate 0.0125% excess return over DOW after adjusting for the inherited market risk (beta).
 Predicted Return Density 
      Returns 
Given the investment horizon of 30 days, the coefficient of variation of iPath Seasonal is -246.27. The daily returns are destributed with a variance of 2.09 and standard deviation of 1.45. The mean deviation of iPath Seasonal Natural Gas ETN is currently at 1.08. For similar time horizon, the selected benchmark (DOW) has volatility of 0.23
α
Alpha over DOW
= 0.0125 
βBeta against DOW=(1.3) 
σ
Overall volatility
= 1.45 
 IrInformation ratio =(0.19) 

Actual Return Volatility

iPath Seasonal Natural Gas ETN inherits 1.4459% risk (volatility on return distribution) over the 30 days horizon. DOW inherits 0.2342% risk (volatility on return distribution) over the 30 days horizon.
 Performance (%) 
      Timeline 

Market Risk Breakdown

iPath Seasonal Volatility Factors

30 Days Market Risk

Not too volatile

Chance of Distress in 24 months

About average

30 Days Economic Sensitivity

Hypersensitive to market

Largest Trends

iPath Seasonal Largest Period Trend

Investment Outlook

iPath Seasonal Investment Opportunity
iPath Seasonal Natural Gas ETN has a volatility of 1.45 and is 6.3 times more volatile than DOW. 13% of all equities and portfolios are less risky than iPath Seasonal. Compared to the overall equity markets, volatility of historical daily returns of iPath Seasonal Natural Gas ETN is lower than 13 (%) of all global equities and portfolios over the last 30 days. Use iPath Seasonal Natural Gas ETN to protect against small markets fluctuations. The etf experiences somewhat bearish sentiment, but market may correct it shortly. Check odds of iPath Seasonal to be traded at $16.9 in 30 days. As returns on market increase, returns on owning iPath Seasonal are expected to decrease by larger amounts. On the other hand, during market turmoil, iPath Seasonal is expected to significantly outperform it.

iPath Seasonal correlation with market

Very good diversification
Overlapping area represents the amount of risk that can be diversified away by holding iPath Seasonal Natural Gas ETN and equity matching DJI index in the same portfolio.

Volatility Indicators

iPath Seasonal Current Risk Indicators